There are two African species of rhinoceros (Black and White), and three Asians (Great Indian, Javan and Sumatran). The Asian rhinoceros names denote geography. We're not sure why the African rhinos are named by color. Some sources suggest these are the shades they become after they get out of their mud wallows. Others suggest that White is a misinterpretation of the Dutch word for wide, referring to the wide mouth; then, by extension, if one is White, then the other would be Black.
If you want to get formal, here's their names in Latin: