I know from the research I've been able to do that it was a companion of his that first set foot in Colombia, but why did he name it after Columbus and not, say, the king or queen who financed the trip in the first place? Was Columbus particularly well-liked in his day by his fellow Europeans? That would run counter to what I've heard about him, but I know public school history is often wrong on those little details.
It was Francisco Miranda's description of the Creole (European ethnicities born in the Americas) world in the early 1800s before the rise of Bolivar. The Europeans did not call it Colombia during the colonization period at all. It was always Santa Marta, Panama, New Granada, or Tierra Firme depending on the period. Miranda used the term to try and unite Creoles with an idea of political and cultural territory beyond European control. In Chasteen's "Americanos" he even claims that Miranda wanted to use Quechua terms for political rulers (Inca) instead of king or president. Only after Miranda's ouster and the successes of Bolivar did the name become synonymous with old New Granada or the region of the northern part of South America.