Anabolic steroids are rife with side effects. In men they make the testes shrivel, they make you develop "bitch tits", they alter your mood and make you more aggressive. Women turn into smaller men with excessive steroid use; they develop lantern jaws, deep voices, and facial and body hair.
I suppose the side effects could be managed, but do you think your average gorilla juicehead with "bigorexia" is going to be smart about controlling when and how much he takes? Fuck no.
That is, I suppose, why they're illegal; they have costly side effects and cause a psychological dependency. I don't agree with banning them, but I can't say I approve of the way they're used by bodybuilders and competitors.