Because the rules have made them compulsory for the past few years. Before they had to wear them, they usually didn't.
Google Indurain, Armstrong, Pantani et al and you'll see that until they had to they didn't, for most stages.
Mind you, they were all going in the same direction and at modest speeds (TV makes it look quicker) so there really wasn't so much need.
Also.. there is no traffic when they race...
So you see, it's all about compulsion.
I dare not re-read what I just typed, in case I punch myself, but I think these threads need some flavour.