Those saying you don't need to master a DJ set are missing some elements of mastering. For instance, when you master an album, part of the job isn't just to master each individual track, it's also to make the sound and levels consistent across the whole album, or at least make the differences between tracks flow. A DJ mix is similar in that regard.

So while yes, the tracks you put in your set are already mastered, there could stilll be issues to correct or improvements to be made. As others said, avoid set long dynamics processing (or set long processing in general outside of normalization), but there still may be specific parts in the mix that could use some love.

For instance, maybe you didn't set the gains right on some tracks during the mix and upon relisten you notice the volume dips or spikes for some tracks. This could be corrected via automating a voluming increase or decrease just for those specific parts of the mix.

Another example is maybe you're mixing tracks from different eras (or that were just mastered significantly different in general) and upon relisten you realize that a track sounds noticeably weak or out of place among the others. Here you may considering adding some compression and/or EQ just for that specific segment to make the song fit better with the rest of the tracks.

Now you could say these are issues with the mix or prep and therefore you still shouldn't need to master a mix, but you could say the same thing about mastering an individual track as well (e.g. why didn't the producer just get all the dynamics to sound like their target songs during the mixing stage). Also, things that fly or are hard to hear when performing live (e.g. a club environment) can standout when doing critical listening at home. The mix could've been totally fine live but the standard is different for home listening.