For me, it shows a pride and disrespect to the nation you're in to not try to learn any of the language or assimilate.
This is a poor example, but it's the only one I got: a few years ago I went to Egypt for a month. Lived in Cairo. Didn't speak a word of Arabic, but I occaisionally was alone, without an interpretor, or just wanted to run some errands to help out the people I was staying with. The first time I went out for groceries, I went to the corner market five minutes away and basically pointed at what I wanted, and the guy typed a number in a calculator and flipped it around so I could see how much I owed and pay him. Of course, I felt like an idiot for being in a foreign country and acting like the Arrogant American, so when I got home, I asked how to say the things I bought in Arabic, and I repeated them until a stranger would have a good chance of understanding me.
So the next time I went back, I was able to ask for my Viceroy nanea and my kilo leben, and he understood and even told me my total in English--I met him half way, and he met me half way. I don't see enough immigrants trying to do the same here. And it's not just the mexicans--I have friends from China whose parents have been here since the 70's and early 80's who have never left Flushing and can't speak any English.