Sustainable consumption is a crucial contributor to sustainable development. Often, environmental policy approaches to promote sustainable consumption rely on increasing the awareness of consumers through information provision. Hence, it is important to know what kind of people the sustainability information is likely to reach, and what kind of people would need to be reached by other means in order to green their consumption. We advance the question of the characteristics of consumers who look for information about sustainability when making grocery purchasing choices. We focus on value‐based buying behaviour of Millennials, drawing from consumer surveys carried out in Finland, Hong Kong and Spain. The results show that values differ between the studied nationalities, but when modelling how values affect the pro‐responsibility behaviour the effect of nationality vanishes. Also, high perception of one's own sustainability related behaviour seems to enable altruistic, self‐directed people to act on environmental concern. Copyright © 2017 John Wiley & Sons, Ltd and ERP Environment