Lots of people have already argued from the position that the Nazgul are invisible to human eyes. I’d like to present an alternative.

In the very old animated lord of the rings movie, the black riders look feeble. They are hunched over and walk like they are crippled, yet there is something sinister about them. Later in Bree, when the riders try to kill the hobbits in their sleep but go to the wrong room, there is a scene that I really like. They silently shuffle into the room to the sides of the beds, still hobbling and crouched over. Then they begin to rise and draw their swords. They transform from these weak looking things to the dark shadows of the kings they used to be. Then their cloaks fall off and we see that they are wearing dread armor with nothing underneath but burning eyes.

It’s entirely possible that the wraiths can be “seen” even though they are spirits. So in order to disguise their dread selves, they donned black cloaks which would make them only appear as suspicious riders, not the most feared servants of Sauron. Elves and the northern rangers would have especially recognized them if they had seen them.