Believers must give up old loyalties in order to create a space for the kingdom to come. Nationalism, individualism, and consumerism are a few of the idealogies that must be reappropriated or completely abandoned in light of the coming reign of God...
According to N.T. Wright, Jesus stated that all loyalties had to acquiesce to loyalty to the new kingdom. All forms of power had to be relinquished. Satan, not Rome, was their enemy now, thus ending all forms of nationalism and violence. If one wanted to pursue the kingdom of God, old, former loyalties had to give way to new kingdom-oriented ones...
Gibbs and Bolgar, Emerging Churches, p. 91, 92
Perhaps they could have told us where, exactly, the Bible tells us this.
For example, Paul was a Roman citizen who seemed to not think it wrong to be one, and even to make use of it at times. In Philippi, he uses it to demand an in-person apology from the officials who had who imprisoned him and Silus wrongly. Later, he uses it to keep from getting beaten in Jerusalem, and then to make his appeal to Caesar. In Romans, Paul still refers to Israel both as "my brethren, my countrymen according to the flesh" and as "God's people".
One may rightly point out that we Christians have a higher loyalty to God, "we ought to obey God rather than men". That is very true, but that doesn't make all other loyalties of no effect. The fact that we are the Bride of Christ does not mean that married Christians have the right to abandon their spouses on a whim, and even in the New Testament marriage is treated as a high and serious thing. Similarly, simply because our citizenship is in Heaven doesn't mean we can blithely disregard and abandon our earthly citizenships and duties.
Nationalism, if by that is meant things like love of country and patriotism, is not something that must of necessity be relinquished. Yes, it must be kept in its proper place, as must all other loves and loyalties. I think Lewis put it something like this in 'The Four Loves', that only by loving God firstly can we love others rightly. But loving God rightly does not necessarily mean that we cease loving others.