Do you think its wrong to change my name?

Hey guys, my current name is 'Hussain' and im thinking about changing my name due to many reasons, one being that(oh by the way i live in the USA, but im originally from a middle-eastern country)i am not a muslim and whenever i tell people my name the first thing they think about is that im a religious person(please understand that I do no disrespect Islam as my parents and my whole family are, however im agnostic). I want to change my name to Elias(English version is Elijah, but ill prefer being called Elias). What do you guys think?