It belonged to his old con man buddy from (IIRC) Chicago in one of the earlier seasons. He broke it out a couple of times when he was hustling somebody, so him putting it on again was a signifier that he's working a con.
This can't be the last we see of Gene, right? He wasn't able to get the clean break from Cabbie Jeff that he wanted because of the mother. The last scene shows that he can't completely quit the game, no matter how much he knows he needs to. And now he has to keep bringing the security guards those cinnamon buns every night or they'll get suspicious. He's got appearances to keep and responsibilities now.