To be honest we are foreigners in their country but still i think its disrespectful to call us this. I would never dream of calling anyone in England a foreigner when they are on holiday or living here. Being called European or Western would be better and far more efficient.
I have been called a foreigner in England and in other countries where I am not a native of, and I don't find it offensive. I consider it just a neutral word. That's also how I would describe myself if it's not important or necessary to disclose where I come from.