A dangerous trend in the Russian nationalism is actually content with encouraging other ethnic separatisms around, so that "Russians proper" - russkie - bang together and develop of feeling of national (or, rather, ethnic) self-identification. If forced to choose between the current country and some hypothetical "ethnic" thing with much smaller territory, I'm afraid they'd choose the latter. These guys are also heavily Orthodox and interpret the religion in a very old-fashioned way. In particular, Catholicism is evil for them (as Orthodoxy is for some die-hard Catholics).

     There are some political forces in Russia (such as Yabloko) which are all for accepting European values and even becoming EU members, when the time comes. However, everyone understands quite clearly that an invitation is not forthcoming (just look at Ukraine!) So in some sense, "we don't want to be in the EU" sounds like "sour grapes" to me.

     But then, of course, there's a joke that it's not about Russia entering the EU, but EU joining Russia :-)