Among the processes cosmopolitan societies undergo at the present moment, is the unprecedented increase in mass migration across cultures. What challenges are faced by both immigrants, who have to settle in novel socio-cultural environments, and by the host populations accepting them? The current qualitative study investigates the nature of identity construction among Russian-speaking immigrants in New Zealand, applying thematic analysis for the interpretation of the data collected via 23 in-depth interviews. Among the most common themes articulated by the participants was the feeling of identity loss. A taken-for-granted sense of identity, brought by the participants from their culture of origin, was not validated by their new society of residence, mostly due to the lack of appropriate cultural resources. The participants were faced with a challenge of re-constructing their old identity, or constructing a new one, utilising the available resources in the community around them. At the same time, there was a sub-group for whom this challenge brought the realisation that the nature of their identity is cosmopolitan, rather than located within any particular culture or geographical space.