Well, it's just a name. It isn't like they've taken the wrestler he was and put in him the game; they just used "his" name. And his name isn't that original. Max Payne. Yeah, no one else in a million years would ever think up of that, nu-uh.
If the name was something original, like for example Zaphod Beeblebrox, I could see how one could claim that the name was being stolen, but Max Payne? It's just a low-quality pun. I'm sure that he wasn't the first person in the world to every think it up.
My friend and I, when we were little, thought up of a group called the Power Rangers before the Power Rangers came out. Can we sue them? Hell, this is America. I'm sure we have a case.