Because Jews get all sensitive about being called Jews. I read an article where some intellectual-ass-jew was discussing the point and suggested that if you are doing an internet search on the topic of the jewish faith, you should use the search term "Judaism" rather than "Jew" because the latter will turn up a bunch of neonazi bullshit. "Jew" has all sorts of holocaust connotations.
I don't know why "Mexican" seems to be considered so derogatory.