It's just that the 2000 'signified' the start of the new Millenium - and that's what the party was for, it was not really about the 2000 (or 1999) years that had passed - I always think the new year is about looking forward. It wouldn't feel right doing it for 2001 or 2011 etc. As already said, it's the end of the naughties. It's a bit academic anyway as the calendar is inacurate for what it is supposed to measure.
If 2000 to 2009 was the naughties - what is the next decade going to be? The teenies?