Good question and something I have always asked myself! I'm from HK, however, I am one of the minority for when ppl ask me who I am, I say Chinese, never Hong Kong.
There could be 2 explainations to this. The first is that in China, anywhere, Chinese ppl usually say they are "from" somewhere in the country - I am from Beijing, I am a Shanghainese, I am a HK ren (person) for the pure intention of identifying where they are from in the country. This is fine and normal.
Its when HK specifically say, "I am HK" to seperate themselves from mainland, then I find it offensive - because they are generally, as you say, not proud and look down on their Chinese counterparts.
I've joined facebook recently (thus my lack of activity on answers) and I see some groups that are titled, "I am Hong Kong, not Chinese!" That's the latter classification I'm talking about!
@cooltronix - you say the reason for this seperation status is because HK is different from China. I don't think that's an excuse. China is made up of a million different cultures and dialects - what makes HK so forwards and China backwards? HK's history is only different from China's for about the time it was a colony - but it went through similar turmoils as the mainland did and suffered its consequences - eg: people escaping from mainland during WWII and the civil war to HK.
HK is bound to China, like it or not. The only thing seperating HK from China is its own arrogance.