From the Super Mario Wiki
Mario's Gloves are a part of Mario's clothing. He wears them in every game, except the first games, (i.e. Donkey Kong or Donkey Kong Jr.) and in games where he is a baby. In Luigi's Mansion, Mario loses one of his gloves and Luigi has to find it.
After giving it to Madame Clairvoya she says: "Wh-what is this? If it isn't Mario's Glove! Ah-hah! Still damp with the sweat of the living!"