Yes, we do. For example, we have the duty to fight to defend our country in war. We don't have a similar duty to defend other countries in most (though not all) circumstances. We have a duty to be good citizens and be involved in our country's politics, caring for the country's welfare to a degree we do not have a duty to care for other countries. And so on.
The Talmud says it best: aniyey ircha kodmim -- the poor of your own town come first. This is not meant to forbid helping strangers. It is meant to give preference to one's own if forced to choose. "Preference", of course, is not meant as an absolute rule: it isn't that one must not give a dime to charity in other places as long as there are poor in one's hometown. It is meant to prevent ignoring one's people in favor of strangers.