So basically there 'are' Jewish people in other places in the world. 'Other countries' sounds better. So the question is: what's the fuss with Israel? No, better yet.
Why was the thing in Israel done differently than in other parts of the world?
Mind you, I'm not querying on legitimacy or not, I'm querying on why were the 'Russian Jews' brought there as 'russian jews' instead of founding an outright state in russia, and why instead it was done differently with Israel.
Israel was an independent state for Jews that promoted hyper-religious Jewish culture on an unprecedented scale. Even the Jewish Autonomous Oblast couldn't manage that, and its inhabitants were encouraged to be secular. Furthermore, they ressurected the Hebrew language which was originally used like Latin - most speakers of it only used it for religious or other specific purposes. Hebrew was brought back from the dead as a practical language, but to the detriment of Yiddish. The reason for this was that Israel was supposed to be inclusive for all Jews, and not all Jews are Ashkenazi.
The reason for going to Israel and setting up a state was deeply religious - they're setting up a state in their "Old homeland" if you like, coming back after thousands of years - "By the rivers of Babylon, there we sat down, yay we wept, when we remembered Zion". Furthermore, it allowed the British and Americans to set up a "little white Ulster" in the middle east, as I think it was referred to by some nefarious gentlemen. You know, a little pro-Western enclave in the holy land.
The reason for not establishing a Jewish state in Russia, rather an autonomous oblast, was that it was the USSR which consisted of united regions and republics and such. They would never have allowed an independent state to crop up on their land like that. Furthermore, it meant Stalin could keep tabs on his Jewish population better by letting them build a home in the far east. Palestine also wasn't a sovereign state at the time that Israel was established, unlike Russia. It formerly belonged to the Ottoman Empire and when the British took it over it became "Mandatory Palestine", a... political entity under temporary British administration. Eventually the British, Zionists and Americans turned it into the state of Israel. Perhaps if the region had still belonged to the Ottomans or similar, it would be far harder to set up an independent state, as was the case in the USSR.