It is a racial slur. When Lady Gaga or Shakira or whomever is declaring themselves a gypsy these days does so, they get to put on the costume of a mysterious traveler with no real place to call home, prancing around and having fun with that title.
Meanwhile, actual Roma people have to live with the stigmas and stereotypes associated with the term “gypsy”, and it’s not hipster cute. Check out this page for lots of links to get you started toward understanding why it is not okay to describe yourself or someone else as a gypsy. The only people who get to claim/reclaim that title are Romani people themselves.
Please, roleplayers- when creating your characters, don’t use the word “gypsy” as a synonym for nomadic, mysterious, artistic, magical, or whatever else we’re associating it with these days. Don’t perpetuate racism. Thank you.