I am quite a nihilist in identity politics.
Unless you are from a very organic community, self-identity is usually a net negative for you. One perfect example is "Chinese identity", as the center of the identity, the government of People's Republic of China, wants maximum loyalty from people who self-identify as Chinese, but offers minimum benefits and protection to its subjects or honorable subjects. Therefore, I don't self-identify as a Chinese, but I would not oppose anyone else viewing me as a Chinese citizen--this is a legal fact which I cannot dispute.
The modern developed countries and their circles (EU, US, UK, Japan, Canada, Australia, New Zealand, along with smaller countries such as South Korea, Israel and Taiwan, and you may add Singapore to the mix) do not emphasize on how you self-identify. Therefore, it is a moot point of "blending into the society you are in" because there is no such standard about "blending in". Highly monotonic society does not exist in most of the developed countries, especially in their urban or suburban regions. You may find some deeply "redneck" societies in rural Alabama, or very conservative and xenophobic communities in some distant villages, but you have no reasons to be there if you are outsiders. The city blends in you, and you have no reason to be rural.
Being in a cosmopolitan environment is an identity in itself. For example, a New Yorker is always a New Yorker at first, not Christian, Muslim, Sikh, or white, black, Latino or Asian. You don't worry about lost of identity, because you are your own identity.
