Only butthurt Americans consider it a slur. It's like with that meme with the leftard girl being offended on the "uneducated minorities" behalf. Because I've yet to meet any gypsies that would consider it a slur, and I went to school with one and I know his (very expansive) family.
Like with Indians. Americans twist themselves into shitpretzels to use only "Native Americans", but here, we just call them Indians, as we used to for centuries, and no one considers it as derogatory. Hell, I don't think we even have any slur on Indians, at least in Poland, and I'm old school enough to play "Indians and Cowboys" as a kid.
I think only Americans and some Brits shit themselves silly about policing language to be as politically correct as impossible

No one in Europe calls them that.
Except maybe the media, when they want to be politically correct.