But in the physical reality that we live in, individuals don't exist "on their own", they don't exist as completely separate entities. They have a lot of personal thoughts and experiences, but they also have a lot of traits that are predetermined by their culture, family, education, nation, society values of their immediate surrounding etc. It is just not honest to only treat people as individuals when there are obviously parts of them which are decided by the nation. So that's why people think in nations.