I sat next to a Roma lady on a plane and she referred to herself as "gypsy" - not saying it's alright for anyone to do so, but I was surprised, given it is a derogatory word.
There was a Roma girl in one of my seminar classes and she said that many Roma people find gypsy to be a derogatory term, but sometimes they call themselves that because people literally have no other point of reference for understanding their ethnicity/cultural background.