First, according to the structural relationship of animal brains, it is easy to have an illusion about the direction when they are always rotating, which is what we often call "dizziness". However, if you cover your eyes, because you can't see the changes in the surrounding scenery, your brain won't have this illusion and your body can keep a natural balance. Therefore, in general, donkeys cover their eyes when pulling to prevent them from turning blindfolded.
Second, another important reason why the donkey is blindfolded when it is pulled is to prevent it from stealing food.