It's not dangerous to you, but it IS very dangerous to your partner if you don't use protection.
Reason being, if you're on steroids and have sex with someone and ejaculate into them, you end up releasing some of those steroids into that person. So, a woman would experience the negative effects of those steroids, such as increased body and facial hair, a deepening of her voice, and an enlarged clitoris.
I highly suggest you either abstain from sex altogether while on steroids, or at the very least, use protection.
