As far as I'm aware there are no real specific reasons known as to why he took that name. Also it wasn't his only alias, just the most well known. He took on other names in European exile. Also for example also Stalin had (used) other nicknames than Stalin, e.g. Koba, Sosso (Spelling may differ) and others.

The aliases we associate with the Russian bolsheviks are the ones that were mostly used in party internas, and therefore were the most consistent. Outside of these, they obviously didn't use the same name all the time as it would defeat the purpose and makes you as easily recognizable as using your real name.

edit: The use of nicknames comes from the ethos of being a professional revolutionary and the conspirative nature of this. Among non-bolshevik revolutionaries the use of nicknames wasn't as widespread as among the bolsheviks.