They don't call themselves the Chosen, but God calls them that. God is entitled to his favorites just like you and me.
God didn't say they were chosen because they were His favorites. He could have chosen" The Chinese or Europeans as His vehicle of Revelation, but He chose the Hebrews. Believers are His favorites. "Chosen", in this sense means they were chosen to reveal the oracles of God. They reveal Jesus even though they don't believe. Their history, culture, and religion reveals the coming of Jesus. This is why they should have been the first to declare Jesus as the Christ. The first Church was made up of Jews that became believers. The other Jews end up in Hell with the rest of the non believers. They don't somehow have a "get out of jail" card because they are Jews. Jesus declared to Nicodemus that He was surprised he didn't realize you had to be "born again" to go to Heaven. Had Nicodemus not believed Jesus was The Christ, he too would have gone to Hell, even being high up in the Jewish church.
The misunderstanding of the word "Chosen" has caused many problems for Jews and others over the years. A study of Jewish law, Feast and Festivals, culture and customs, is one of the most enlightening Bible studies a Christian can do. You will understand more of the Bible than you ever thought you could if you learn to think as the Jews think. Ask a Jew for Jesus to teach at your church sometime. You won't regret it. The Christian church is having the same problems the Jews had in the time of Christ. Jesus was a Jew, and as such did everything a Jew was supposed to do. The Rabbi's at the time didn't like His interpretation of the Law, so they turned on Him. That is why Jesus warned us about the "traditions of men."
Today's Christian church is filled with the same stiff necked people that make things up as they go along and have their own traditions and rules. God has never changed and the rules remain the same. Jesus said He came to fulfill the Law, not change it. We should look more like Orthodox Jews than we look as Christians.
I'm not a 7th Day Adventist, but they are correct that God never changed the Sabbath. That is just one example of many that Christians have traditionalized and have set themselves apart from the Jews. If you study the Feast days of the Jews, it will give new meaning to the stories of the Bible, and give insight in to prophetic coming events, such as the Rapture, Judgment Day, and the millennial reign of Christ.