While we may not know the specific reason for their color, we do know that they have been around for millions of years, as we see that they interact with dinosaurs. This means that they may just be yellow because that is how they evolved. Why is any animal any color?
Another theory I have is that yellow is generally seen as a happy color. And they are very happy creatures. But it is almost ironic that, even though they are such happy, loving creatures, they are always looking for someone evil to follow. So yellow is mostly a contrast to, for example, Gru, who is very into the dark color scheme.