Because in German "nazi" actually has an older history than National Socialism. In southern Germany it was apparently a dimunitive for the name of Ignaz. But being an "Ignaz" also could doubl for being a block-head, a bit of an idiot. Hitler's Austrian origin might have helped to make the connection as well. So the "Nationalsozialisten" didn't necessarily call themselves "Nazis". (Some attempts at taking over the word and making it "their own", filling it with new meaning, seems to have been made, but didn't blot out the earlier meaning of, well, a bit of an idiot.)