IIRC it’s because it was a breed originally cultivated by the Roma.
I think there’s a push among some folks to get a name change on the books, not even to a name based on Roma, it was something else entirely I think related to the moustache
I agree that Gypsy is a slur, when used to denigrate migrating groups of people or poor foreign looking people, especially when the group who are being insulted with the word are not connected to Romanichal people at all.
However, both this and Romani used in this specific context, as you can tell from the History section, are specifically linked to identify this breed of horse, historically used by this sect of people. As such, there are cases where using this term is appropriate, unless there’s been some other euphemism in use that has made the words Gypsy and Romani archaic, as is the case with some other slurs.
You’re welcome to censor yourself and not use this word which in some contexts is a slur. To me, language is quite flexible, and so words mean anything that parties to a conversation understand them to mean, through the combination of verbal, non-verbal and contextual signals.