Using a different base is equivalent to scaling your data
Let $\mathbf{z} = \left(\ln a\right) \mathbf{y}$
Now observe that $e^{z_i} = a^{y_i}$ hence:
$$ \frac{e^{z_i}}{\sum_j e^{z_j}} = \frac{a^{y_i}}{\sum_j a^{y_j}}$$
Multiplying vector $\mathbf{y}$ by the natural logarithm of $a$ is equivalent to switching the softmax function to base $a$ instead of base $e$.
You often have a linear model inside the softmax function (eg. $z_i = \mathbf{x}' \mathbf{w}_i$). The $\mathbf{w}$ in $\mathbf{x}' \mathbf{w}$ can scale the data so allowing a different base wouldn't add any explanatory power. If the scaling can change, there's a sense in which different base $a$ are all equivalent models.
So why base $e$?
In exponential settings, $e$ is typically the most aesthetically beautiful, natural base to use: $\frac{d}{dx} e^x = e^x$. A lot of math can look prettier on the page when you use base $e$.