It's because Europe is more than just a geographical term. 'Europe' has long been used as a shorthand in Britain to mean the dominant power on the mainland, either France, Spain or Germany, and later to mean the EU (which Britain wasn't a member of when it was first formed). As a result, although Brits know Britain is geographically in Europe, they have a lingering sense that 'Europe' means mainland Europe in the political/ military sense, rather than geographical Europe (whatever that even means- is Russia in Europe?).