That's a complicated question, and I suspect it has a lot of dimensions.

I can't speak for the culture of other countries, but Americans have a deep-seated sense of worth tied to profession. Having your livelihood stripped raises existential questions about whether you have any value as an American (to understand this phenomenon better, it may be worth also comparing suicide rates in the US after a job loss to suicide rates in other cultures in similar situations).

... but in addition, the US has a pretty deep-seated cultural mythos that when your worth is taken by someone, you take it back, using violence if necessary. Witness the Revolutionary War and the recent phenomenon of a conservative political group naming itself after an economic rebellion against the East India Company.

More importantly, in many places in the USA, what would be medium inconveniences in other countries (illness, company folding) can quickly and easily destroy a life.

Which countries do you have in mind here? Is it not the case that most of them have either less access to guns or better social programs for the unemployed (or both)?