They simply do not trust non-Roma Europeans. The gypsies have been the victim of persistent social exclusion and brutal suppression ever since they arrived in Europe in the 14th century. They were frequently expelled, at times they could be murdered with impunity, they were branded, had their ears cut off, there were mass killings.
As recently as the mid-1800s they were enslaved in parts of Romania and had been for hundreds of years. Here's a poster advertising an auction in Bucharest in 1843. Their fate during WWII is well-known.
In communist Czechoslovakia some were subject to forced sterilisation. Today, their children are still de facto segregated in separate schools in the Czech Republic, Slovakia, Bulgaria, Romania and Hungary, often in schools for the learning disabled or "delinquents". Source. There is widespread anti-Romani violence particularly in Eastern Europe.
In Western Europe, they are reluctant to send their children to school or have them interact with any official authorities, because quite frequently their children were taken away from them.
There is evidence of systematic removal of Gypsy children as a strategy for cultural destruction in various countries of Europe over recent centuries up to the 1950s, including Czechoslovakia, Italy, Austria, France, Germany, Norway and Switzerland. [...]
Although not always systematically constructed as policy, surveillance and prosecution of families under public health, housing, education and welfare legislation, and removal or threat of removal of children, have been integral to the broader raft of measures to police, control and harass Gypsies during the nineteenth and twentieth centuries in Britain. Okely (1983) refers to the fear of child removal in England in the 1980s, and further research might uncover more extensive malpractice.[...] For British Gypsies the international and national history of their experiences with welfare means that social workers continue to be strongly associated with a fear that children will be removed, and so contact is generally avoided. Source
In Switzerland, many Jenisch were forcibly sterilised, systematically had their children removed to estrange them from their culture, were subjected to bizarre "medical" treatments to cure them of their "genetic deformity, etc, all of this up to the 1970s. Source
Norway subjected a number of Roma people to forced sterilisation, lobotomies, forced separation from their children. Source
Sweden carried out a number of forced sterilisations as late as 1975. Source (pdf)
Follow up questions:
Where does the name Roma/Romani originate from? Since my limited knowledge does not lead me to believe they share a common heritage with Romanians or Romans it seems strange they would refer to themselves as such.
OP, I asked a very similar question a few months back and got some very high quality responses you might be interested in.
Edit: And just saw the top comment has been removed, damn it -_-
Edit 2: Another thread with a good answer, if you're interested.
How are the Romani related to the Traveller community in Ireland/UK? (Apologies if Traveller isn't the correct word)
Related question, why have gypsies always been hated by the European societies they live in? I never seem to hear the word "gypsy" in a positive connotation
The various Gypsy 'fringe' communities similar to those of the Roma people, and other groups such as the Irish Travellers, are and have been marginalised in almost every single country they exist in.
Two core things come from being marginalised: The first and most obvious, is that they are physically not accepted by the community and are 'pushed out'. In past times an easy fix for European nations has been to remove the children from their parents and split the community, but this legally cannot be done in the modern world.
The second cause of being marginalised is that when this happens over decades or even hundreds of years, the community begins to have a completely different outlook and way of life that can be very difficult to accept into contemporary society. These Gypsy groups and communities have values, customs and rituals which may conflict with those of local societies, and thus if they were to 'assimilate' they would have to give up their own cultural history and way of life.
So in history, there have been many attempts to control the Gypsy these peoples and force them to assimilate - but the authorities have never had the power or reach to completely control all individual populations, and often these marginalised groups have not 'assimilated' due to the stark difference in ways of life. As this has progressed into the 20th and 21st centuries, laws have protected the 'basic rights' of all people - which has lead to a resurgence of 'Roma' populations and authorities no longer have the legal authority to forcibly remove them from or assimilate them into society.
An easysimilar comparison is the historical record and treatment of Jewish populations and communities or the treatment of Aboriginal peoples in Australia.
Where are Gypsies originally from and why were people so ignorant to them, especially post-WW2? It would seem to me that, after what happened with the Jewish people, others would be much more considerate and not treat them like Hitler treated others. I hope my question makes sense.