What do you mean they?! /s. Personally I don't like the term, but my status card does say "Indian and northern affairs", but at least if you go to the government site it mentions how "Indian" is not how many indigenous people want to be referred to as. Why do they not change it? Good question, I'd assume legal stuff with the act or whatnot. But at least I prefer indigenous.
I can't say I personally know many Indigenous people, but the few I do would often refer to themselves as "a cherokee" or as part of the insert here tribe. Based on the other comments it seems like that isn't as typical as I thought.
Yeah, the older people still say stuff like "come over here and talk Indian with me". But it seems like most of the younger people will either say their native, or name a specific tribe.