The Greeks actually called them myths too (in Classical Greek it's μῦθος ('mythos')). Originally, the meaning of 'mythos' meant 'story' (or 'word' or 'speech'), without the pejorative meaning of 'untrue story' [1]. The word 'mythology' (or 'μυθολογία') was used by Plato (Hipp. Maj. 298a for instance) in the sense of a story that is pleasing, which implies truth isn't an issue per se.

The word 'mythology' in the meaning of 'body of lore' is found first in French ('mythologie') around in the early 15th centure CE, and from there spread to English [2]. The shift in meaning from 'tale' in general to 'untrue tale' probably has to do with Christian views on the truthfullness of what the Greeks and Romans called 'mythology'.

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[1] www.perseus.tufts.edu/hopper/morph?l=mythos&la=la#lexicon

[2] www.etymonline.com/word/mythology

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