Many of the effects of steroids are brought about through their actions in the brain. Once steroids enter the brain, they are distributed to many regions, including the hypothalamus and limbic system. When a person takes steroids, the functioning of neurons in both of these areas is altered, resulting in a change in the types of messages that are transmitted by the neurons. Since the hypothalamus has a major role in maintaining normal hormone levels, disrupting its normal functioning also disrupts the body's hormones. This can result in many problems, including a reduction in normal testosterone production in males and loss of the monthly period in females.
http://www.nida.nih.gov/MOM/TG/momtg-steroids.html