It's human nature. Obviously not every European player will leave the NHL for Europe but a player born in Kazan is much more likely to go to the KHL than stick around in the AHL for a few years just like a player born in Manitoba is likely to want to stick around in minor pro leagues.
Especially since leagues like the KHL only allow limited spots to players that do not hold that countries' citizenship.
Do you really think a player the North American equivalent to Alexander Radulov would leave an NHL team for the KHL if he was not from that area? How about Johan Harju? A sixth round pick in 07 who signed in the KHL for one year after leaving the SEL. Would you expect our 08 6th round pick Montreal born Mark Barberio to make the same jump?