It started after an accident back in 1989:
Of all the current major leaguers, Olerud is the only one who wears a batting helmet at his position in the field, excluding those ever-endangered members of the catching fraternity. Olerud’s choice of headgear stems from a near tragic incident he endured during his college years; while attending Washington State University in 1989, Olerud suffered a brain hemorrhage and an aneurysm during a morning workout. Though he recovered, doctors advised him to wear a protective batting helmet while playing first base or pitching (he was a two-position player in college), in order to protect against line drives and collisions with baserunners that might result in contact with the skull.
By now it would probably be safe for Olerud to discard the helmet in favor of a soft cap, but matters of habit and superstition have compelled him to continue wearing the hard hat at all times throughout his professional career. While he is the lone active major leaguer to wear a helmet in the field, he is by no means the first to do so in the history of the game. It’s happened from time to time over the past 50 years, dating back to the first team that made full-temple helmets a permanent addition to their inventory of baseball equipment.