The Moscow Times, an English-language Russian paper, runs a story entitled "Why Russians Long for the Soviet Union." Hat tip to Lucianne.com for the link.
The simple answer to that question is the same one the French might give, namely "We were once consequential, we mattered then, but no longer and it bums us out." What fascinates me is that Brits aren't similarly nostalgic for their much bigger, wealthier empire.