People frequently refer to themselves as Pagan for a number of reasons.
1. Perhaps they have come to believe in many Gods and Goddesses, work with nature, etc. but they have not yet found a specific pattern to follow or are creating a path of their own. In that case calling themselves Pagan would be perfectly appropriate.
2. Oftentimes people call themselves Pagan because non-Pagans generally understand the meaning of the word "Pagan". Calling oneself Heathen, Kemetic, Wiccan etc. often confuses the person we're talking to and leads to more questions than we want to answer.
3. It is true that Paganism is an umbrella term that covers a large number of religion. That having been said, those who follow the religions under the umbrella could also rightly be referred to as Pagan. As an example; I am Wiccan, I am also Pagan. Someone who practices Druidry is also Pagan.
It is perfectly acceptable to refer to oneself as being Pagan and that would be an accurate term. What would be less correct is to say that one follows the "Pagan religion" as there is no one religion that is Pagan in nature, there are many of them.