My four year old daughter recently started calling me by my first name. She's only doing this to me, not her mother.

I found this to be a little strange and don't want to encourage it for practical reasons (e.g. if she throws a tantrum while putting her in the car, I'd rather she shout 'no, Daddy' so people think I'm a terrible parent instead of a kidnapper). Beyond that, I guess I don't care that much. I've told her she needs to call me Daddy, Dad, Dada, or any variation of that, but not my name. When she asked why, I didn't have a very good answer, other than kids aren't supposed to do that.

It's probably a phase so I'm not terribly concerned. But what is a good reason to tell a children that they can't call their parents by their first names?

Edit: I am my daughter's biological—not adpoted or step—father.

Edit Redux: This phase has mostly passed on its own. Being a dad, I found that calling her "daughter" "baby goat" (kid) back with a cynical smugness usually got laughs.