It is strictly a US phrase, as others have explained, referring to constitutional rights under the US legal system.
Here's an actual example. This is part of a transcript in a Senate hearing. (For people in the US who remember the 1950s: this is mystery writer Dashiel Hammett's testimony before a McCarthy Senate committee). Here is an example of someone in (a sort of) court, pleading the Fifth Amendment. At that time, in the United States, it was illegal to be a member of the Communist Party due to a law passed in 1954.
Q. Are you a member of the Communist Party today?
A. I decline to answer on the ground that the answer would tend to incriminate me, pleading my rights under the Fifth Amendment.
Q. Were you a member of the Communist Party in 1922?
A. I decline to answer on the ground that the answer might tend to incriminate me....
Q. You have written a number of books between 1922 and the present time, have you not?
A. Yes....
Q. If I were to ask you as to each one of these books if you were a Communist Party member at the time you wrote the book what would your answer be?
A. The same.
Q. You would refuse on the ground you stated?
A. Yes.
Q. [Did you ever write a story dealing with social problems?]
A. Yes. As a matter of fact, roughly one that I remember, a short story called ''Night Shade.'' ... which had to do with Negro-white relations. . . .
Q. When you wrote this short story, ''Night Shade,'' were you a member of the Communist Party?
A. I decline to answer on the ground the answer may tend to incriminate me.
Q. Did that story in any way reflect the Communist line?
A. That is a difficult -- on the word ''reflect'' I would say no, it didn't reflect it. It was against racism.