It may seem this way, but data breaches happen everywhere. For example, in July 2009, the Ponemon Institute said that seven out of ten organizations in the UK had experienced a data breach in the past year. The reason you hear mostly about U.S. breaches is because the United States has laws that requires organizations to alert individuals affected by data breaches. Man other countries do not. proposal to set up similar security-breach reporting mechanisms have been put forward in Europe, but adoption is not widespread yet.
If you visit the National Conference of State Legislatures, you can look at a complete list of data breach disclosure laws in the United States, state by state.