A lot of it is to do with marketing and brand power.
Don't kid yourself - brand names such as Pentium and Celeron are powerful in the marketing game. Intel would be daft dropping them. If anything, if I were Intel and in the mood to cut product lines, I would reduce the types of "Core" CPUs from core i3, i5 & i7 to just Core (Btw, I'm not suggesting they do, I just think if they were to do so, that's where to start).
People outside the tech community have heard of the Pentium and Celeron. A lot of people have some idea that they have something to do with computing. I would put money on it that random Joe Bloggs on the street would recognise the brand names Pentium and Celeron much more readily than Core i3, i5, i7.
In regards to the performance differences, and why they are covering all the market, quite simply is because that market exists. I have a NAS box, with a 10 Watt Celeron (Current Generation) CPU at it's heart. I'm not interested in performance from this thing, I'm interested in it's low DTP, and stability. Pentium can fit similar systems, or embedded systems, where the Core series would be overkill.
It sells, it makes a profit, it's a valuable identifiable brand name - who in their right mind would drop it??