The EU is not an empire. It was that sort of thinking that caused brexit.

Empire

1. An extensive group of states or countries ruled over by a single monarch, an oligarchy, or a sovereign state.
"the Roman Empire"

2. A large commercial organization owned or controlled by one person or group.
"her business empire grew"

The EU is governed by representatives of its member states and is primarily an organisation dedicated to free trade and peaceful unity. Its member states have self governance and, as we know, can leave.