Why is it that many yokai wear masks?
I don't think that has anything to do with actual mythology. It's simply a stylistic choice by Yuki Midorikaw more than anything else to depict youkai in that manner. In ancient times, masks were used to portray creatures and characters during plays and rituals.

It seems that that carried over into manga and anime to represent youkai when in human form, much like the common depiction of a ghost wearing a triangle-shaped bandage on the head.