[AndriyKunitsyn]

Let's not equate Cyrillic to Russian. Cyrillic is also a script of multiple other languages, including Ukrainian, Bulgarian and Serbian (when Serbs feel like using it).

Answering your question - basically, this comes down to the traditions of the languages.

https://ru.wikipedia.org/wiki/Макконахи,_Мэттью

https://uk.wikipedia.org/wiki/Метью_Макконагі

https://bg.wikipedia.org/wiki/Матю_Макконъхи

https://sr.wikipedia.org/wiki/Метју_Маконахи

https://mn.wikipedia.org/wiki/Мэттью_Макконехи