We had a discussion on steel vs aluminum alloy wheels in the Subaru NG. There was one person who was adamant that typical steel wheels weighed less than typical aluminum alloy wheels and that better venting from being more open could be detrimental to braking efficiency. You can probably guess how many people thought he was right.
However - in the search, I found a few companies that make steel racing wheels. They didn't seem to be terribly expensive and some were rather lightweight. I'm wondering is their application for some racing categories where steel wheels are mandatory. It also sounds as if many of the lighter steel racing wheels probably won't be the most durable.