Short answer: They don't.
Long answer: They don't, it's PC white people who invented the term.

There's a black American comedian who sums it up saying 'Everytime a white person calls me African American it sounds like they are trying too hard, and I just think 'Man, you had to think of a way not to call me nigger'
( scarpe We Stole Bikes, Fri 2 Mar 2012, 9:50, 1 reply)

Long History
The use of "African" for a black American is very long established. I used to think "African-American" was a bit silly, but since they also have Italian-Americans, Scottish-Americans, Japanese-Americans and so on, African-American is actually quite a logical term, and is about more than skin colour.
(ubergeekian, Fri 2 Mar 2012, 12:00, closed)

I don't know what is worse of me,
that I am happy to take my knowledge of Black America from a comedian without checking any further or that I am willing to stand corrected by a B3tan on the same basis.
( scarpe We Stole Bikes, Fri 2 Mar 2012, 16:08, closed)