Personally I'd say it's because of the media hyping the team up far too much. Every time a World Cup or European Championship rolls around, it's all about how this is England's time and how it's possible for them to go all the way, how Beckham is at his peak, how Terry and Lampard are fantastic because they're with Chelsea, how Rooney is Jesus Christ II. etc. and yet every time they come up short and you read in the newspapers how it's a national tragedy. Not to mention that 1966 gets brought up in some form, in almost every game, by the commentators who come across as being totally biased, sycophantic idiots, and every time a studio pundit opens his mouth I almost choke on the arrogance that comes out.
In short, it really isn't anything against the players, the country or the fans, but more because the press/media seem to portray the opinion that it's England's given right to win every game and whenever they don't there's always something to blame, whether it be a penalty spot, a disallowed goal, a football that's too light/heavy, David Seaman, the opposition fans, the venue, the time of day, the lunar cycle or the colour of Sven's socks, and never the fact that the team and the individual players just aren't as good as they (the press) are building them up to be and that they can't handle that.