We don't have any evidence they **did** wear horned helmets.
Weapon - A Visual History Of Arms And Armor, describes viking equipment on pages 53-56; the most common viking helmets were the simple metal plated helmet, Gjermundbu-style helmets and Wenceslas helmets.
Horned helmets are not even mentioned.
The leftmost helmet is a Wenceslas helm, and rightmost is a Gjermundbu-style helmet:
!enter image description here
Also see this website; it mentions viking equipment, and there's no trace of horned helmets.
**So where did the image of a horned-helmeted Viking come from?**
Apparently, the idea of vikings wearing horned helmets originated from one of the tapestries discovered on the Oseberg ship:
> What we do have is one single piece of evidence, the ninth century Oseberg tapestry, suggesting a rare ceremonial use (the relevant figure on the tapestry may even be that of a god, rather than representative of real Vikings)
The Oseberg tapestry: !enter image description here