Of course, 'India' isn't actually an Indian word either. It comes from the Sindhu River, which the Persians called Hindu, then the Greeks called the river Indos, based on the Persian, and the land beyond it they called India.
We don't always call people what they call themselves. We sometimes even use a name that a completely different group use for themselves.
For example, we call the people of the Netherlands, 'Dutch', which comes from 'Deutsch', which is the German for 'German'.
I'm not making an argument here. I just find it all interesting.