Why are country names different in different languages?

If a nation wants to call itself “X”, why can another nation call it “Y”? Let’s take España and Côte d’Ivoire for example. Why do the English or Italian languages (or any other for that matter) have the right to rename them to Spain and Ivory Coast or Spagna and Costa d’Avorio? Ferrari and Sony don’t change their names in various countries.

I find this practice of renaming nations inefficient and confusing.