I'm Italian, and while proud of my cultural heritage I'm also ready to leave this country as soon as I'll get my master degree, as it doesn't offer satisfactory work options for my field. This awareness and an Erasmus internship I took in Belgium last year, made me shift more toward an European identity.
But I don't think the two are mutually exclusive honestly and I wouldn't like the a EU where national and regional cultural identities are absorbed into an homogeneus one. Differences can and should be celebrated.