They come with the side effect of causing your heart to blow up like a basketball with prolonged use, which has the tendency to cause said hearts to explode in random hotel rooms.
For those of you who are going to be "well that was just Eddie", here is a link to a long ass list of professional wrestling deaths. What you're paying attention to here is all the names that died of heart attacks in their 30's and 40's, which is not a normal thing by any stretch of the imagination. You can especially watch those types of deaths start to take off post-1980 when steroids really started to enter the mainstream.
http://www.wrestlerbiographies.com/dead-wrestlers-list
So if you'd like to know why the WWE prohibits steroid usage, it's because they are undoubtedly dangerous to your long term health, and many of you idiots are happy to make the argument that something must be OK because a professional wrestler is doing it.