Because that is the name she choose for herself and that is who she is.
'Seven of Nine' is more 'her' than 'Annika Hansen' will ever be. The young girl was assimilated and, for all intents and purposes, died, when she became part of the Collective and was turned into Seven of Nine.
In the episode Survival Instinct (S06E02), it is clearly shown that Seven is the only identity that she has. The Sphere she was on crashed on a remote planet, and she ended up with three other Borgs on the planet. Those Borgs start to regain memories of their previous lives because they were assimilated as adults. Seven was assimilated as a child and has little to return to.
The Raven wasn't discovered until several months after they 'freed' Seven of Nine, and it is obvious in later episodes, as she explores the archives retrieved from the ship, that she feels little connection to her previous identity or her family and is even a bit resentful that they took her on their scientific journey chasing what was essentially a rumor when they set out. A rumor that turned out to be very dangerous.
From S05E15/16 'Dark Frontier':
JANEWAY: I'd like to narrow that list of variables. I was hoping your parents might provide us with a few insights. I've been looking over the records we found on the U.S.S. Raven. Your parents kept extensive field notes, detailed journals. There are over nine thousand log entries alone.
SEVEN: The information is irrelevant.
JANEWAY: On the contrary, Seven. They spent their careers studying the Borg. They tracked a cube at close range for what, two years?
JANEWAY: Well, I'd say that made them experts. I want you to study their research. Look for any data that might give us a tactical edge.
SEVEN: My parents were assimilated. Obviously their tactics were flawed.
JANEWAY: Look, these records have been collecting dust in our database for over a year. You say they're irrelevant, and I say you've been avoiding them. You're the best person for the job, but I'll assign it to Chakotay if I
SEVEN: No. The information belongs to me. I will read it.
[Cargo Bay two]
(Neelix brings in a case of PADDs.)
SEVEN: You're late.
NEELIX: Sorry. It took longer than I expected to download these records. This is only the first batch. Your parents sure had a lot to say. I organised the information by category. Field notes, personal logs, biokinetic analyses. I don't mean to pry, but is it true your parents were studying the Borg?
SEVEN: Yes. The Hansens were exobiologists.
NEELIX: Fascinating. They must have been very courageous.
SEVEN: They were misguided.
SEVEN: My parents underestimated the Collective. They were destroyed. Because of their arrogance, I was raised by Borg.
As for the Voyager crew, being from the enlightened society that is the United Federation of Planets, they respected her choice of name. While it could be argued that they kept on calling her Seven because that was the only name they had for her at the beginning, there is little doubt that they would have switched to Annika, or whatever other name she might have chosen, if she decided to shed the Borg designation in favor of something more in tune with her human side.