The reason is that yellow lenses or bulbs reduce the light output, which was the way manufacturers used to solve the problem of light reflecting back to you before they discovered technology. With better reflector designs now manufacturers have been able to create better fog lighting with brighter light by keeping the upper cutoff of the beam pattern very crisp and by pushing the light out very close to the ground in front of the vehicle underneath the fog layer.
However, I feel both colors have their place. If you absolutely must mount your foglights above the bumper then you are probably better off using a yellow beam since it will be firing right into the fog and the lower light output will not reflect back as much. Also, I think yellow works better in rain than does yellow. If they are going below the bumper then get white light, IMO.
Anyway you look at it though, a proper beam pattern is what you are looking for more than color. For fog you absolutely cannot have light that strays upwards from the main beam pattern. You'd be amazed at how much different the main headlights can make too just by having some with a sharp cutoff at the top of the beam. Proper adjustment helps too.
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ChuckH
"Every morning when I wake up I know it's not going to get any better 'til I go back to sleep again!" Al Bundy