One is a verbal label coming from others, the other is a word by which members of the group being labeled refer to themselves.
Most Romani people today refer to themselves by the word Rom. The Czech word "gypsy" is one of many European words that have been used to refer to the Roma by the majority society. The word gypsy has had a pejorative meaning since its inception, which has become even stronger in the last twenty years. That is why its use is being discontinued. The word continues to be used by the older generation and by those Roma who themselves prefer the Czech term.