I have a similar problem with not drinking tea (or coffee). An Englishman being an ateaist is seen as rather odd, and the looks of confusion as people try to process the idea (just… water… no tea…) can be entertaining.
I have a similar problem as a Finnish person drinking only tea, no coffee. Depending on the statistics, we're either #1 or #2 (behind Luxembourg) in coffee consumption per capita.
I think I've had to explain that more often than the part about not drinking any alcohol.
Interesting, I'd swar it's Italy, it's literally the first thing most of my friends do in the morning. The only difference is that some take their espresso at home whereas others prefer their favorite local bar.
Italy isn't even particularly high on the list, and for example this site has them as number 15. The average Finnish person is drinking twice the amount of coffee per day as the average Italian person.
I think I've had to explain that more often than the part about not drinking any alcohol.