Only individuals who are born into one of the ethnic groups known as "gypsies" can be gypsies, otherwise it is impossible to become one. Gypsies sometimes marry those who are not gypsy, although it is widely discouraged. The term for a non-gypsy who marries a gypsy is "gorger."
The term "gypsy" itself is a misleading umbrella term applied to a wide variety of ethnic groups that don't necessarily have anything in common. It was originally an abbreviation of Egyptian; however, few of the existing ethnic groups known as gypsies are of Egyptian heritage. The tendency of ethnic people known as gypsies to be protective of their heritage and to not encourage fraternization outside of their culture created an aura of secrecy that lead to widespread distrust of them that persists today.