Because Yo-Yo's are meant to be used as weapons

Colonel: That kid...isn't that Ness?
Snake: Ness?
Colonel: He may look like a mere boy, but don't let that fool you.
He has PSI abilities that defy all scientific explanation.
Snake: Just like Psycho Mantis...
Colonel: Exactly. He can use teleportation, levitation, pyrokinesis, and psychokinesis.
Snake: Yeah, but the question is, can he read minds?
Colonel: Not to my knowledge, no.
Snake: Good. Then I won't have to worry about him predicting my every move.
Colonel: Even if he had telepathic powers, I don't think he'd use them to mess with you like that. I hear he's a good kid.