Can't find anything that says they are illegal, though there do seem to be cases of Producers and even prohibition Notices for folk with them, but I did find this:
Headlights on new vehicles must produce white light, according to both ECE and SAE standards. Previous ECE regulations also permitted selective yellow light, which from 1936 until 1993 was required on all vehicles registered in France. Yellow headlights are no longer required anywhere, but remain permitted in France, Belgium, The Netherlands, Switzerland, Japan, New Zealand, and some other countries.

No idea if that is a law or not though.