Turn on advanced mode in your user profile. Then go to the device page and rename the device, not the entity. It will ask if you want to rename all entities as well, choose that option. As long as the entities have not changed names already, it will rename them all.
Renaming in HA will override any names/locations in ZUI, so best to name them in ZUI if you want both places to be in-sync. If you ever need to sync from HA to ZUI (as that is not automatic) you can follow these instructions: