Here is a list of Shakespeare's 39 plays. The 11 "histories" are all set in England. (OK, Henry V is set partly in France.) Of the 28 remaining plays, only 3 are definitely set in England: Cymbeline, King Lear, and Merry Wives of Windsor.
One could argue about two others:
Macbeth was set in Scotland, which shared the same monarch as England but the United Kingdom was still a century in the future.
As You Like It was set in France, but through some wordplay the setting may have been intended to evoke Arden, Warwickshire, though this does not appear to be a consensus reading.
So only 3/28 of Shakespeare's comedic and tragic works are set in his (and his audience's) home country.
My question assumes that it's weird that so few plays are set in England. After all, most of the Greek dramas are set in one Greek polis or another, and most Chinese operas that I know are set somewhere in China.
But maybe that presupposition is wrong. Were most Elizabethan dramas set in foreign countries?
It's impossible to answer your question with a direct source, because there are very limited sources available for why Shakespeare chose the topics he did. There is great ambiguity around Shakespeare's thinking at any given time and the best source we have are the plays themselves. At best, we can infer from context why Shakespeare chose to avoid English politics. To that end, I would suggest that the most likely explanation is that writing plays directly about English politics was dangerous.
The best illustrative example of this I can give is the 1601 rebellion of the Earl of Essex. The day prior to a planned revolt, The Earl of Essex arranged for Shakespeare's company to put on a performance of Richard II - a play which prominently features a scene where the King of England is deposed. Controversial at the best of times, putting on a play featuring the deposition of the King of England the day before your patron attempts a revolt against the crown puts your entire company at risk of being implicated alongside the rebels. As a direct result of this performance, Augustine Philips, a prominent actor in the company, was called to testify before the authorities.
For an example of Shakespeare's company receiving further trouble from plays based on English history, look to Henry Brooke, Lord of Cobham, who was reportedly resentful about rumours that the character of Falstaff was based on his father due to dialogue linking Falstaff's family name to his own family.
It's worth noting that what plays Shakespeare did write on English history were written primarily in the first half of his career. It was safer to avoid these matters altogether.
As a final side note, it's also worth comparing the purpose of Greek plays (I will not comment on Chinese Operas as I have no knowledge of this area) to Shakespearean plays. A less sinister explanation is that Shakespeare was writing with a goal of entertaining his audience. To this end, exotic locations and bloody events are likely to be an exciting draw to a crowd. On the contrary, most of the Greek plays we have were produced as part of the Dionysia festival in Athens. They were produced and funded by elected representatives and were an explicit part of the Athenian democratic process, to that end, it's only natural that they were more concerned with depicting the events directly surrounding Athenian life and politics rather than more exotic settings.