Lived in India for a couple years - so here’s the answer to your question. Because Bombay, Madras, etc. are not the real names of these places. They are the British names imposed on them when they controlled their country from around 1600 to 1947.
Why do you think the Americans drive on the opposite side of the street to the Brits? To show our independence and the return to indigenous names is the same for India.