Why do atheists call themselves atheists instead of "not religious"?
Depending on what you mean by the term "atheist", you'll probably find that a lot of atheists aren't actually atheists.
Atheism is a term thrust on those who don't believe, and this is why some atheists say they are atheists in the same sense as they are not collectors of stamps. We are being defined by just one of very many things we don't do (that is, we don’t believe in a god). You might believe that an atheist positively and actively believes that there is no god and there actually are some atheists who think like this. Usually they have argued themselves into a very high level of confidence that the existence of a god is impossible and taken the step to actively believe that there is no god. For most of us, however, this final step isn't necessary or would be inappropriate.
I, for one, have a very high level of confidence that there is no god. I don't actively believe that there is no god, in part because there are so many gods and so many versions of the supposedly "one true god" that I don't know precisely what I should actively disbelieve. It's easier to simply not believe. If that makes me a non-theist rather than an atheist, I am more than happy with that, which is why I frequently refer to myself as a non-theist. But I'll accept atheist, agnostic, agnostic atheist, weak atheist, soft atheist, apatheist, irreligious, non-religious, infidel and so on. If pushed, I'll accept strong atheist and/or hard atheist (if my high level of confidence that there is no god is translated to mean active belief that there is no god) and even anti-theist (since I do find some theists irritatingly condescending and there are only certain types of people from whom I will accept condescension). I'll accept materialist, physicalist, rationalist, monist and "scientistic" (as well as scientist (and also "physicistic" as well as physicist)). I'm not an apostate though, since I have never signed up to a religion in the first place, nor have I ever believed on an informal basis. Sometimes I am even described as a pagan, but that's not quite right, but if you loosely interpret "pagan" as meaning "not holding to of the main world religions", then it could work. Describing atheists as pagans also works for those people who misguidedly consider atheism to be a religion in and of itself, but that just makes them wrong on two counts.