Keeping his mask on allows to help Jon emotionally disconnect from the act.
I don't consider that emotion either did
have or would
have had any part to play in the act as far as Jon was concerned, which would have remained the case regardless of whether or not he could see the whites of Rorschach's eyes; that's wholly irrelevant. It was a preordained, predestined action that Jon had already experienced due to his unique temporal perception, and he was merely following the dictates of his existence. He had to kill Rorschach in the snow because... he'd already killed Rorschach in the snow, albeit his exact identity was unknown to him. Mask or no mask, Walter's tears of resignation or his begging for his life are futile variables that would not - could
not - have provoked an emotional response in Jon at that point so as to have affected the outcome any.
The only semi-emotional concession that Jon appears to make in respect of Rorschach's death is his decision not to tell Veidt outright that Rorschach is dead. Now, I don't consider for one moment that this was done for Veidt's benefit, but more for the fact that Jon assumes that word will filter back to both Dan and, more importantly, Laurie. It's only natural that, at some point, they're going to wonder whatever became of Rorschach; learning of his sudden, bloodily violent end can only serve to upset Laurie's already fragile emotional state of mind even further, regardless of her personal feeling towards the man. Furthermore, Dan is likely to be pretty cut up by the news too and, having accepted their relationship, Jon knows that Dan's hurt will also adversely affect Laurie as she empathizes with her new lover. If Jon's feelings for Laurie were strong enough to persuade him to return from Mars, I don't consider it too much of a stretch to imagine that he would want to shield her from as much hurt as possible in his last conscious act for her benefit before he departs our galaxy, and leaves her, for evermore.