Under the right circumstances, steel can burn. Steel is a great conductor of heat and electricity, so it is difficult to burn a regular sized piece of steel without reaching extreme temperatures. The heat is quickly dispersed among the rest of the steel, and the surface area of the steel is not able to reach a temperature where burning occurs. However, you can burn something with a small surface area like steel wool quite easily. Its volume is small enough where the steel can heat up to a temperature where burning occurs.