How does rotating a coordinate system affect vector direction and components?

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Mathematicsresear
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If I move a coordinate system by an angle theta, why does the vector still have the same direction, but the components are different?
 
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I had another example with a compass needle pointing North regardless of how you rotate the casing of the compass on which N-S & E-W markings are drawn, but @Orodruin got there first with his example. I should add, though, that this example shows that a coordinate system is always needed before an unambiguous description of a vector can be written down.
 
kuruman said:
I should add, though, that this example shows that a coordinate system is always needed before an unambiguous description of a vector can be written down.
This is not really true. You just need a single reference direction in which the vector is pointing. For example, "the rocket is moving with a velocity of 0.5 towards the Earth".