Er... they did, especially if I'm allowed to include Classical Greek authors, actually. Herodotos:

Others are accustomed to ascend the hill-tops and sacrifice to Zeus, the name they give to the whole expanse of the heavens. Sacrifice is offered also to the sun and moon, to the earth and fire and water and the winds. These alone are from ancient times the objects of their worship, but they have adopted also the practice of sacrifice to Urania, which they have learned from the Assyrians and Arabians. The Assyrians give to Aphrodite the name Mylitta, the Arabians Alilat and the Persians Mitra [Here Big H is evidently mixing up Mitra and Anahita; both Urania and "Mitra" probably refer to her].

Strabo:

The Persians therefore do not erect statues and altars, but sacrifice on a high place, regarding the heaven as Zeus; and they honour also the sun, whom they call Mithra, and the moon and Aphrodite and fire and earth and the winds and water.

Xenophon has Cyrus invoke Zeus, probably Aúramazda, and details sacrifices to Artemis, probably Anahita.

Later, with Plutarch's Isis and Osiris, we see much less of this as Plutarch attempts to render the names in Greek. This seems to reflect Plutarch's fairly high degree of genuine understanding of the religious system he discusses, recognizing it as quite different from his own:

The following is the opinion of the great majority of learned men. By some it is maintained that there are two gods, rivals as it were, authors the one of good and the other of evil. Others confine the name of god to the good power, the other they term demon, as was done by Zoroaster the Magian, who is said to have lived to old age five thousand years before the Trojan war. He calls the one Horomazes, the other Areimanius. The former he assserts is of all natural phenomena most closely akin to the light, the latter to darkness, and that Mithra holds an intermediate position. To Mithra therefore the Persians give the name of the mediator. 

Yahweh, curiously, was identified by many authors (Tacitus e.g.) with Dionysus, whereas the related deity El was sometimes identified with Cronus.