Because in Latin or whatever they were called "cucaracha" and English speakers probably combined words they already had that were phonetically similar, "cock" and "roach", to make "cockroach".
Kind of like how "nӗgro" meant "black" in spanish, which in turn became "nēgro" as in a black person and then "nigger" when passed through southern dialect, and eventually became the site's favorite word because it sounds funny and makes people mad. I'd imagine it's just the usual game of cultural/linguistic whisper down the alley.