Because it is inaccurate to use the English z (zebra) to approximate Spanish words like zapatos, arroz, mestizo, chorizo, or even Zorro or Zamora. The only legitimate ways to pronounce the Spanish z or zeta are English s (sun) or English th (thorn). In Spain, both of these conventions can be used depending on where you come from: the Northerners usually say thapatos, the Southerners sapatos (old Filipinos were right to spell it as 'sapatos'). Elsewhere in the Spanish-speaking world, they just pronounce "zune" as "soon". (This is because most of the Spanish colonists came from southern Spain.)
Now for people who are unfamiliar with Spanish, I can forgive. But for Filipinos I see no excuses. Hearing words like Marquez or Quezon pronounced with an English z does not sound right to me. Trying to mimic the Americans? It is sad that the older generations who say Markes and Keson, who are only being accurate, are often laughed at.