The most fundamental reason that steel rusts is that the product of rusting, rust aka iron oxide, has a lower energy than the combination of steel and oxygen-containing air. This is very evident in an experiment that is often used to understand oxidation in the sense that burning something actually adds something rather than taking it away: if you take fine steel wool and make it very fluffy (allow lots of air to surround it), it will burn (and gain weight in the process, which comes from the oxygen).

While the fact that rust has lower energy than iron and oxygen means that in principle ("thermodynamically"), that is where a combination of those materials is headed, it does not mean that this transformation occurs easily or quickly. Some added components such as water or salt can accelerate the process, and there are also ways to slow it down, such as coatings or making alloys (such as stainless steel). This is the reason why the speed with which "steel" rusts depends so much on the exact type of steel and its surroundings.