Because a lot of Mexicans (from Mexico) don't see it as innocent to call U.S.Americans 'Americans', but it is associated it with ideologies like the Manifest Destiny and Monroe Doctrine and US imperialism. To us it is not just a name, or about simple, innocent usage of words, but of underlying political connotations. Mexicans are after all, also Americans as are Canadians, Colombians and all the rest.