The following answers will not be accepted:
- It is American. No it isn't: they say "railroad station" over there.
- A bus station is where you catch a bus, so a train station is where you catch a train. This may be logical (though when did idiom have anything to do with logic?), but it was equally logical 20 or 40 years ago when we certainly did not say "train station". So this does not explain the change.
- We have always said "train station". No we haven't: find me an example by a good writer from 20 years ago.
Later. Google Ngram tends to support my belief that the dominance of "train station" is a recent phenomenon.