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.
