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:
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
The Oseberg tapestry: