I deal in beer and this comes up a lot, as the term both refers to specific styles of beer from the Czech region that's fairly prominent in the field, and also to just nightlife in general and its characters. How come? When and where did this happen and why?
The Roma (also known in the English-language world as "gypsies") are a nomadic people originating in northwestern India. Small bands of roaming Roma reached almost every corner of Europe in the almost 800 years they have been on the continent.
Their itinerant lifestyle (moving from place to place, being craftsmen and doing odd jobs) was seen in popular imagination as being outside the mainstream society. The Roma were skilled musicians (hence their association with arts), but they cared little about local laws and customs (like the repression of sexuality in the European society of the time).
The Roma reached France in 15th century and they came from the East, which is why they were assumed to come from Bohemia, so the Roma were called like that (bohémien).
In 19th century, Western artists (starting with Romanticism) liked the Bohemians because they enjoyed their freedom and for aesthetic reasons. Additionally, painters mingled with them in the poor neighbourhoods in Paris, as part of the counterculture. Particularly the higher class was fascinated by them.