You have to set the third parameter of htmlentities()
which tells the charset to use. Because of you don't set it, the default is used and the default is ISO-8859-1, not UTF-8.
Like htmlspecialchars(), it takes an optional third argument charset which defines character set used in conversion. Presently, the ISO-8859-1 character set is used as the default.
Just to clarify, this is the function signature:
string htmlentities ( string $string [, int $flags = ENT_COMPAT | ENT_HTML401 [, string $charset [, bool $double_encode = true ]]] )
and here you'll find the official doc: http://php.net/manual/en/function.htmlentities.php