Steel has been used since at least WWII to save money and resources when manufacturing ammunition.
Mild steel is cheaper than brass, which is the primary reason it's used. However, it doesn't seal the chamber as well as brass does. Theoretically, that could cause more carbon build up in the chamber (not the best for reliability or keeping things clean) and, I suppose, maybe lower velocities.
It probably doesn't shrink like brass does, either. As I recall brass expands and then contracts a little, which makes it easier to extract.
Steel isn't very elastic, which probably increases the chances of a failure to extract/stuck case. Again, that may or may not be a problem depending on how violently a weapon can extract the casing. (Violent extraction...good or bad is another topic of debate, more so when you're talking about rifles than handguns.)
It's also needs to be coated in a heavy lacquer, polymer, etc. or it will rust. Sometimes these coatings can be problematic for different firearms.