I hate this phrase for three reasons. First of all, is the idea that genuine problems can't exist in first-world countries? Because obviously that idea is absurd. No nation does not have poverty, hunger, mental illness, murder, and rape. OK, maybe there's no poverty in Vatican City, I don't actually know about that, but that can't be what the phrase means, right? It must refer to those problems that affect only the relatively affluent, like when you lose your iPod charger. That's not absurd in the same way as the first thing but it still bugs me, because I don't think you can have it both ways. You can either complain about losing your iPod charger, or you can be the kind of person whose awareness of her relative affluence prevents her from complaining, but you can't do both. It's like when people say "no offense" right before they insult you. You don't get off the hook that easily!
Ultimately, though, what annoys me about this phrase is the implication that people living in non-first-world countries somehow give a shit about your iPod charger, that it counts as a good deed simply to acknowledge your affluence. That is literally the most egotistical thing I can imagine.
I could probably explain this whole thing better but I'm tired and my eyes kind of hurt from playing one of those bubble-shooting games online when I should have been editing.