Yes, it's all about what group do or don't mind being called.
We don't mind Brits, Australians don't mind Aussies but Pakistanis do mind Paki and Blacks don't like Coloured.
Sorry if people think I need to get a grip on this, but hey - I think this is an important issue. I don't for one minute think that Nimrod meant anything by the use of the word "coloured", and as far as I can tell, he's a good person who wouldn't mean to cause anyone offence. So my comments on the word were not particularly directed at him, but I do actually make a point of pointing out that the use of the word "coloured" can be offensive to some black people. I think that there are two reasons for this:
a) it was the word used by deeply racist people in the deep south of america when black people were being heavily oppressed.
b) saying that someone is "coloured" suggests that they have some "colour" added to what is the standard or normal skin colour - ie. in the minds of those who originated the phrase - the white skin (or as it should be - the pinky/yellow/red/brown skin with the odd freckle thrown in - who exactly is the "coloured" person?)
Similarly as Mr LL points out - "paki" is an offensive term, because it was and is used by racists to denigrate all people of south asian origin.
I guess that the terms Brit and Aussie are OK because they haven't been used in a derogatory fashion ever, although - whilst I'm not going to make a meal of it - I probably would do a double take if someone called me a Brit - because I'd be worried that it's main usage might be something like "Brits abroad" - ie. the seemingly large body of people from our country whose holidays abroad seem to be about taking Britain with them - and who may not respect the indigenous cultures of the countries they are visiting - which I wouldn't particularly want to be associated with.