Assuming that you are talking about the movie, there is an admittedly speculative theory.
It is possible that the environment of Dr Neuman's office made the effects of The Mask redundant.
In the first Mask movie, there is a theme of masks (duh) and how we all wear masks metaphorically speaking. We suppress our id (as in id, ego and super ego) by hiding our true selves from the world behind a mask.
Stanley Ipkiss, an incredibly repressed individual, finds The Mask and by wearing it he is able to express his deepest desires. The Mask essentially reveals his id.
Now, in a therapist's office, one can find oneself admitting things that one cannot even admit to oneself. One of the key skills a therapist has to learn is how to get their clients to open up and speak honestly to them. To drop their mask (metaphorically speaking).
It is possible that in that office, where Stanley feels free to express himself fully, that The Mask has no effect because there is nothing more to reveal.
Please remember that this answer is speculative, but based on the content of the first movie. This answer would not apply to the comic series, and I doubt it would apply to the sequel movie (I have not subjected myself to that yet).
Additional Information: I recently remembered that this theory may be canon with the cartoon series (for what that is worth). There is an episode in which Stanley decides to throw away his inhibitions and act as he pleases, and then discovers that The Mask refuses to work when he puts it on.