It wasn't always like that. Back in 2000 there was genuine desire from their side to move closer to Europe. Putin got elected by promising EU integration. Back then, however, the old EU decided to treat Russia like all the other former communist countries. The "European Neighbourhood policy" was the same for countries like Marocco and Russia and that pissed them off.
If they were treated as equal back when they were at the bottom they wouldn't have rejected the EU altogether and start their own customs union when they got Oil and Gas money.