I read an article about STS 107, in which the crew videorecorded their search for the gloves to put on.
They wear suits for reentry to be prepared for a case of sudden loss of pressure in the cabin. To breathe from the atmosphere within the suit, the suit needs to be closed and the gloves are an essential part of the suit. Without gloves, the suit would lose too much gas through the arm cuffs.
In case of emergency, they only have to close their helmet, if not done before. Putting on the gloves while the cabin loses pressure rapidly would take too much time. Linking the gloves to the suit when the pressure in the suit is higher than outside would be difficult if not impossible. The hands would swell badly if exposed to a much lower pressure than the rest of the body in the suit. Squeezing the swollen hands into the gloves might be impossible. Control of the Shuttle with swollen hands would be impaired.