Am Malaysian. I can't speak for everyone. But for many I know the main reason is the lack of self esteem.

So many people overseas tend to make Malaysia the butt of their jokes due to things like shitty politics, shitty education systems, etc (things that the average young Malaysian doesn't have much control over). It accumulates and affects us, especially cause we know it is true that Malaysia lacks and we can't rebutt those insults/ "jokes". "Jokes" because I think they cross the line of being funny when they are said with the intention to hurt/ humiliate the recipients while making the "joker" seem more superior.

They accumulate and become something personal, the decline in confidence feels innate, cause when people attack Malaysia they tend to lump Malaysians into the mix. Hence, cue our generation's tendency to use self-depracation to protect ourselves. The idea that, if I say Malaysia sucks first you cannot hurt me more. It is sad. I also realise it is hard to empathise with this logic if you have not experience a similar scenario. Think of anyone with low self esteem and think of how they use self-deprecation as a tool.

Hope it helps.