Well anabolic steroids are illegal, so those who do choose to take gear would be disinclined to admit their own usage of the drugs as they do not want to incriminate themselves by stating it outright.
Secondly, roids are generally frowned upon amongst the general public and is seen to be taboo to most due to the negative stigma portrayed by the media.
Lastly, for well known figures in the fitness/bodybuilding industry, admitting to steroid use can definitely ruin their chances of getting a sponsorship or even terminate their current sponsorship - once again due to the negative portrayal of steroids in the public.
There are more reasons why but those are the main ones in my opinion.
However, i think you'll find that if you ask the biggest guy in your gym in a private conversation, they will more than likely be open and honest about their steroid use.