Jesus' Hebrew name is Yeshua, which is what we refer to him as. If I were visiting somewhere else, I'd still want to be referred to by my name, not their version of it.
While Yeshua is the same person as Jesus, you'll find more Jewish concepts attached to the name Yeshua.
Note: We do not have a problem if you call him Jesus. Jesus is a transliteration of a transliteration of his name. This is fancy terms for putting a word from another language into your letters. The thing is, not all sounds match in languages one for one. Yeshua changed to Greek as "Iesous" (ee-ay-soos) because Greek doesn't have the "Y" sound or "sh" and masculine names can't end in a vowel in Greek.