It happens all the time. Women are expected to change their names when they get married.
Sir Ben seems to identify with both of his parents' background. And his new name is probably a lot easier in showbiz and where he lives. Lots of showbiz people change their names.
He's not denying his backgroundHe's claiming his own identity.

I like "Sir Kingsley", cut out the 'Ben', but pronounced like Chris Moltisanti said it - "Suh Kingsley". Has a ring, doesn't it?

It's extremely common to name your child after a god or goddess in Indian culture. It's not sacreligious in any way; it's considered the opposite. In Hinduism, God is considered part of you. So by naming your child Krishna, for example, you are showing reverence because God's name will be invoked every time his name is spoken.

Maybe he did it because Krisna Bhanji sounds like he's a Hare Krishna follower, I personally don't understand why anyone would name their child after a god, it's too much on the nose IMO.
Welcome to the Internet, where people insult each other for no reason