Because it's unsportsmanlike, unhealthy, and sets a bad example for our children who look up to Baseball players as role models whether we like it or not.
Sportsmanship applies only to your teammates and competitors. Collectively, the league. So if all the players decide that they don't anyone using steroids in their league, fine. It seems like a majority of players are okay with it, though.
Lots of things are unhealthy, and a lot more unhealthy than elevating your testosterone. Used responsibly, anabolic steroids are not that dangerous for adult men (they are not at all safe for minors and women, however).
And, assuming that players all agree to just go ahead and use steroids if they want to, where is the bad example?