Hello
Binding in ContextMenu doesn't work the way you think.
ContextMenu is something every wpf control possess therefore ContextMenu holds a property called PlacementTarget which as the name says identifies the target control where ContextMenu will be placed.
Now to your question. If you wish to use Binding in ContextMenu you will have to do it this way:
<stackpanel tag="this will be the header">
<contextmenu>
<menuitem>
Header="{Binding PlacementTarget.Tag, RelativeSource={RelativeSource Self}}"
</menuitem>
</contextmenu>
</stackpanel>
See what I am trying to say? In my example PlacementTarget is the StackPanel.