Firstly, the days of the week weren't strictly named after the "Norse" gods, but Germanic deities. Norse gods fall under the umbrella of Germanic paganism, to be fair, but it was not directly the Scandinavian deities whom the days of the week were named after.

The answer is simply a matter of translation. The Romans were responsible for the calendar months, obviously named after their own deities, but also the days of the week. Actually, in Latin, the days of the week had similar names, but were named after Roman deities as well. When the Romans went north to conquer Germanic areas, the days of the week were "translated", so to speak, by trying to equate Roman deities with Germanic ones. This was pretty typical, to try to combine gods from different cultures by simply deciding that the ideas were close enough to represent the same gods (it's after all how the Romans got a Zeus-like Jupiter and such).

Anyway, the Roman days of the week were named after planetary bodies (more or less equated with deities), but were "translated" into English by substituting Germanic gods for the Roman ones. Sun Day, Moon Day (Monday), like ours, are just cosmic bodies. Mars, the war god, had Tuesday, which was equated with the Germanic war god Tyr. Wednesday comes from Wodan (Odin), but was at the time equated with Mercury. Thursday's old name was from Jupiter, because in fact, Thor was likely the "top god" in many areas, not Odin. Friday would have been named after Venus. Saturday is named for Saturn, so is identical.

Today, the modern Romance languages name continue to use the Latin roots for their days of the week, so derive from the Roman cosmic bodies/gods. On the other hand, Germanic languages such as English use the "translated" names.