There's just a strong connotation with the type of person who says America. It has a very low brow nationalistic tone. This only applies to someone from the US. If someone immigrated here says it it's very different, as is if someone says they want to visit America (even if they are referring to the US as well.)
It's wrong but the reason people do it is because it's part of the country's name. Also you refer to someone from the US as 'Americans' as well as cultural traditions in the US like 'American Football'.
