Hi Jordi, I'm a native British English speaker. Both sound fine to me, but the nuance is different. "Something is a problem for me" sounds a bit more emotional and less literal, as it is more indirect. For example, "it is a problem for me that you always arrive late" (i.e. it makes me feel bad), whereas "to me" sounds like the thing itself is directly, and perhaps physically affecting the subject, e.g. "The lack of recycling facilities in this city are a big problem to me". It sounds a bit like one is saying "in my opinion" in this case. Hope this helps!