Here’s what The Free Dictionary has to say about the term "It’s a Free Country":
“Something that you say which means that you have the right to do something even if someone else has criticized you for it. ‘I'll shout if I want to - it's a free country!’”
Well, I wouldn’t say that is the extent of it, but such a perspective certainly is a great start to the basic concept of what it means when you say "It's a Free Country".
It's a free country because we can live by whatever perspective we want to (or at least it should be like that), so long as it doesn't cause harm to others.