Because they aren't Egyptians and it's just an entirely false name attached to their people by the ignorant. Maybe they want to be proud of their actual heritage?

There's also the fact that gypsy has long been used as a word to mean vagrant, thief, and many other negative things because people assumed all Romani people are like that. It is a word used to make them sub human and they have literally been killed by those who deemed them with that name for centuries.

It's not that being called Egyptian itself is racist, it's that calling them an incorrect name given by their historical tormentors feels like shit.