It all depends on the gameplay of your game, but it all comes down to this: If multiple players make the player team stronger, then the enemies have to be stronger as well, to balance this.
Although not a video game, this is how Dungeon and Dragons do it. I don't have the Dungeon Master's Guide with me, but I recall it mentions something like this:
For each player of a specific level, add the XP value together. There
are different values for Easy, Medium, Hard and Deadly encounters.
Using this you can get the party XP for each difficulty.
When making a monster encounter, add the XP of all monsters and
multiply it with some specific values, depending on the amount of
monsters. So the more monsters on an encounter, the higher the
multiplier value. This is the Encounter XP.
Compare the Encounter XP with each difficulty's Party XP. To find if
the encounter is Easy, Medium, Hard or Deadly.
This means that more players means more party XP, means that more difficult encounters are now easier. If you didn't do that, all encounters would just get easier, which could potentially make the game easier.
However, this is not a rule. There are games where having more players could make the game more difficult, because maybe all players have to survive, so if even one of them dies, the team dies. So make your choice depending on your game, just make sure the game has roughly the same amount of challenge.