Because there's no close sound to щ /ɕː/ in many European languages.

Some languages approximate it with /ʂ/ (think "sh" in English). For example, Romanian: borş.

Most languages approximate it with a combination of /ʃ/ ("sh"), /t/, and /tʃ/ ("ch"):

- "sh" and "ch",

- "sh" and "t", or

- all three, "sh", "t" and "ch".

Or an approximation thereof.

In Swedish: Approximation for /ʃ/ is "sj" /ɧ/. Approximation for /tʃ/ is "tj" /ɕ/ which yields "borsjtj". Though they could've gone for just "bortj" :)

Dutch is "Borsjtsj": Approximation for /ʃtʃ/ (sh t ch) with sj /ʃ/ and t

German is "Borschtsch": Approximation for /ʃtʃ/ (sh t ch) with sch /ʃ/ and t

etc. etc.