Plus, imagine it. As a high level crime lord you'd be constantly surrounded by thugs, yes men, all sorts of middlemen to cover your ass. A mob boss who started his life of crime as a vicious, hot blooded thug would get bored of the protection and the safety. Moonlighting as a common mook? Right in the fucking thick of it? You could get shot and bleed out in a gutter like common filth.
The risk would be exhilarating. Better than sex. That's why he wears the horn.