It's called "martial arts" because originally these were skills used in warfare. "Art" here does not mean "dance and performance"; that is a more modern definition. Sun Tzu's The Art of War is not a theatre guide.

On a semi-related note, "liberal arts" refers to the skills that would be required to participate in a free society, particularly to participate in informed discussions on social and political matters. That's why liberal arts includes subjects such as math, science, geology, and public speaking. It feels like many people are not aware of that, which ironically is due to a want of proper liberal arts education.