The naming of Europe goes back to the Greeks. They divided the world with a line through the Aegean Sea, The Dardanelles, the Bosporus and the black sea leaving the crimean peninsula in Europe. Originally the term only applied to Greece but eventually came to designate pretty much anything north of the Mediterranean and west of the line I described. Anything East of the line was Asia and the landmass south of the Mediterranean was Egypt for the land Surrounding and east of the Nile Delta and Libya for the land west of the Nile Delta.

The Romans borrowed this same general description pattern. They named Africa and set up the idea of continents as they exist now.

You have to remember that when Greeks and even Romans were dividing up the world they would have had no idea about the shape of the entire world. For all they knew the three continents were just about the same size.

The naming convention was passed to modern people through the languages based on Latin. The naming convention is in popular use throughout the world owing mostly to European colonialism and dominance in the 18th 19th and early 20th century.

I know simple answers aren't allowed in this sub, but this question is also a philosophical one because continents are a man-made distinction. The idea of Europe is interlinked with how the concept of 'Western' civilisation was constructed. That is, as something that stemmed strictly from Ancient Greece, while most of Eastern or African contact were ignored for the most part.