So, while sumwun's astute witticism is humorous (also dangerous, don't try that at home or anywhere else, kids), it does point to a possible reasoning. Aside from the fact that the developers wanted some balance in typing, making Electric types a tad stronger defensively.
The answer to your question is Science (as are most answers these days), but I'll try and break it down.
Most metals (Steel included) are good conductors of electricity. Or at least, above average. This means that when placed in an electric field, they allow a greater number of negatively charged electrons to whiz around their surface, leading to what we call current. Now, one of the major features here is that a current gives rise to magnetism. This was first observed by a dude called Oersted.
We can go deeper from this point on, by I feel that by understanding that electricity can generate magnet (and vice versa, proven later, but out of scope of the question), we can come to a rudimentary conclusion.
Electric types use their power to create fields which generate a magnetic field. Now, as most of us know, magnets can be attracted or repelled by unlike and like poles respectively. So, one easy way of getting to the answer is, Electric Pokemon generate their own magnetic field to counter that generated by their power in the opposing Steel type, and repel them to some extent. Now, some of you might jump and say, "That's ridiculous, all the opponent has to do is turn around and then the attacks will double in power". I must admit I'm not entirely clear as to the exact science behind that, but one way to counter that argument is to say that Electric Pokemon can obviously change their field within a very small time frame and counter again. Furthermore, it makes sense that the effect is halved, not completely eradicated, so it's not like Steel types are completely useless.
In some sense, even Special attacks can be thus redirected, or repelled (not sure how Steel typing is coded into moves directly) to some extent, for convenience of player, a round figure of 50% resistance.
Obviously, this can't be the complete solution, and it has some details to be ironed out, but at a basic level this might go some distance into explain their resistance towards Steel type attack.