I figure there are three points to it -
1) Financial. You can't shill hard for the supplement companies if you let it be known you're on drugs. There are a healthy amount of gym rats that already know, but there is still a huge amount of the general population that think supplements might do something magical. Also if they have their own training programs they're selling, it cuts into that too.
Also a lot of the bigger contest don't like being associated with drug use, even though it's an open secret.
2) Legality - I actually don't think this is as big as people make it out to be, unless they are supplementing their income by selling. Sure some might get hassled, but I don't think personal users would get hassled much, especially if they were smart about the language they used and what they showed.
3) Pride - This is a big one, especially with older, and second, third tier guys. Most of these guys, after all is said and done, don't have much for the decades they put into the hobby. They basically have their physique or a lifting record, and that's that. It's hard to admit that a guy can be on the same stack as you, and look 10x better or lift 500lbs more.
So a lot of these guys latch on to the "I was natural" or the "I was only on xyz" lie. Also, whatever schmoe fanbase these guys still have in old age tends to get mighty disgruntle if they find out their hero has been lying to them.
No one likes to be surpassed, and no one likes to be forgotten about.
I think there's just as big, if not bigger reason, than these. And I think Kwon somewhat alludes to it in his post above in reply to Royalty.
I think they're all afraid of Jim Manion, head of the IFBB Pro League. If one gets on Manion's bad side, I'd bet that not only is that bodybuilder not going to win contests, he's not going to be even allowed to compete. Thus their careers would be over.
Let's face it. The foundation of all major bodybuilding contests going back to the days of Arnold is based 100% on PED use. Take out all the PED's and what have you got? Guys that look nice, look like models. And who's going to pay hard-earned money for that?
Manion can't afford "for the curtain to be pulled back" like the Wizard in the movie
The Wizard of Oz. If so, his empire collapes. Even though everybody knows about the PED use, the charade, the show, must go on. If the Arnold winner comes out the day after contest and tells his explicit pre-contest and off-season PED protocol the jig is officially up. As I heard Shawn Ray once say "it's chemical warfare up there."
You can't have a sport or contest based solely on drug usage.