Why? Already we've had scandals involving pro athletes taking steroids and other drugs to try and gain a competitive advantage. Others see it works for them, so they start doing it - college athletes, high school athletes... There have already been reports of that happening. These kids have no idea what kind of problems they can face later on for their steroid use now - heart and other medical problems, mood changes, 'roid rage, and so on.
Who was the latest pro wrestler that made the headlines when he died, I can't remember his name? I do remember details slowly came out about his steroid use, and large amounts being found at his home. Then the stories began coming out about his anger management problems, probably due to steroid use. I have no problem if these adults want to risk killing themselves with this crap. I do have a problem with kids using it, with no idea what the risks are, and I do have a problem with anyone using drugs that can make them more violent towards other people.
The last reason, and probably the least important to me, is the competitive advantage people get from them. However, if a person can be kept from participating in a sport because they wear prosthetic legs that might give them an advantage, though they pose no risk to himself or others, then steroids and other performance-enhancing drugs should certainly be banned.