"De" is also French, the language of the place where this Venus is, and "Venus de Milo" is simply the most common name used in English for referring to it.
If you really have to be pedantic, say the Aphrodite of Milos, since this is a Greek statue.
I assume the name is probably French, because it was discovered by a French archaeologist. I think it could also be Latin, since I think "Milo" would be the dative case of "Milos", but I'm not 100% sure (I haven't read much Latin since leaving university).
In either case, Spanish has nothing to do with the matter, the name is perfectly valid, and more generally "Venus de Milo" is the canonical name. I'm sorry if you don't like that, but there's no way in which it is is less valid than using an Italian name in English conversation.
Also, you probably wouldn't say "Venus of Milo", because that's a really awkward way to refer to the geographical origin of something in English.
It is also latin, happening to mean "concerning" "of" or "about", which in this context seems appropriate. (I'm only mildly a latin type, not an art historian, so I'm not sure this is in fact the intended meaning, but it fits, and given the statues classical (albeit greek) history...)
Edit: As sister posts point out, the french meaning is far more appropriate, but the latin is valid as a root.
https://en.wikipedia.org/wiki/Venus_de_Milo
http://www.louvre.fr/en/oeuvre-notices/aphrodite-known-venus...
http://penelope.uchicago.edu/~grout/encyclopaedia_romana/mis...
http://www.venusdemilo.gr/
http://www.enotes.com/homework-help/why-aphrodite-milos-bett...