Essentially, for political reasons. "Burma" was the official English-language name of the country from independence in 1948 until SLORC (the military dictatorship, since renamed the SPDC) decided to change it in 1989 or thereabouts, claiming the name "Myanmar" was more inclusive of the ethnic minorities. In fact, the opposite seems to be true - the ethnic minorities are used to calling it Burma and saw the change as an attempt to reinforce the hegemony of the Burman (or Myanma) majority ethnic group.
The National League for Democracy (winners of the 1990 election, but never allowed to take power by SLORC) and Aung San Suu Kyi (the NLD leader, under house arrest) still call their country Burma in English, as far as we've heard, on the grounds that as the SPDC has no mandate from the Burmese people it doesn't have the right to change the name of the country. The British government also continues to use "Burma" and "Burmese", for the same reason. And until there's any significant improvement in the political situation there, we'll continue to take our lead from the NLD.
(There's no confusion in the Burmese language itself - the country's officially been Myanmar since 1948.)