Really? How do you know? Did you see a comprehensive comparison? I would be very interested in seeing it.
I think Bovard spends a couple of pages on this subject in "Terrorism and Tyranny".
He notes that in some areas, some countries have more freedom than we do. For example, the US lags behind others in freedom of the press.
I expect the US to come out on top when all freedoms are averaged together. No, I haven't done a comprehensive comparision. I'd be interested in seeing one though.