In other countries, they are spies who will be treated as such if caught. Please do catch them.
Unless, of course, those other countries are allies or part of the EU where they may (or may not!) have allowed international co-operation for items of "national security" anyway.
The question is not what GCHQ does, but who is allowing them to do that. The answer in the UK is "the people who draft laws", the answer worldwide is "the people who draft laws" and/or "nobody".
Only for where they are explicitly disallowed will they face punishment abroad, and - let's just think about this - they are spies who need to spy on foreign risks, so the exact countries likely to prosecute (or more likely, assassinate) GCHQ members are exactly those countries they will be keeping an eye on.
Note that I'm not EXCUSING any of this. This is just the reason. But what they are doing to allies is allowed, what they are doing to "enemies" is not allowed in the enemy territory but it's an enemy anyway, and what doesn't come under those categories is extremely difficult to determine without co-operation of allies / enemies anyway.
This has, is, and will go on no matter what for what is essentially a spy agency. How legal it is on our own people, on our own soil is the only matter for UK law (the rest is really foreign policy), and UK law says they can. And EU law says they can. So we can ask to change the law, and the answer will be the same as ever "In the interest of national security..."