I don't like it much when people ask me where I am from, because any response would of necessity be either longer than the asker expects, or less truthful than the asker expects, or both. "Born in Russia, moved to the US as a teenager, moved to Finland as an adult" doesn't sound like much, but you'd be surprised how many people's mental buffers it overflows.
A very common response to whatever I say is "ah, a citizen of the world..." I don't usually berate them for that, because they just don't know what to say and say whatever comes to mind, but my gut reaction is "no, I am not".
No, I am not a citizen of the world. I am a citizen of the United States and Finland, just like my passports say.
I don't think anyone can be a citizen of the world, really. Obviously I don't mean "citizen" to denote a legal citizenship here, although I doubt that there is any one person who'd managed to collect all the world's citizenships, but the kind of cultural connection that citizens mostly have to their countries.
I am a citizen of two countries, and have various amounts of cultural connections to a few more. If my life had turned out differently, there could have been just one country, or three. Not the world. The reasons are the same as the reasons why a polyamorous person can have a relationship with two partners, or three, but nobody can have a meaningful relationship with a large apartment building. Nobody has the time for a meaningful couple relationship with a hundred people, and an apartment building usually contains at least a few people that you wouldn't want to have a relationship with even if they were the last folks on earth. There are countries like that, too.
Yes, I also know people don't really mean a true connection to all the countries of the world when they speak about citizens of the world. In fact every person whom I have heard call him or herself a citizen of the world meant something quite the opposite of a connection. These are people who move from country to country every few years, speak only English (or English and their native language), have some professional jobs where English is enough, mostly hang out with each other and generally avoid developing any connection with whatever country they happen to live in. A perfectly valid lifestyle, to be sure, but definitely not me.