The English actually do this with other countries with both Latin or Germanic-based languages as well (and Germans or French do this as well). Examples: Munich (München), Cologne (Köln), Brussles (Brüssel), Seville (Sevilla). Just to name a few from Germany, Belgium or Spain. Germans on the other hand call Venice Venedig and Florence is called Florenz.

This happens in every language I know, actually. Firenze (Italian), Florence (English/French), Florenz (German)
München (German), Munich (English), Múnich (Spanish)

I even know some (older) people who say "Neu York" (the German word for new)
The reason is probably just that people are not always able to pronounce words/names in other languages.