Technically, steroids retain nitrogen. In other words, in it's natural state the body can only use so much protein for the muscle building process. The rest is discarded. Steroids recirculate nitrogen, allowing more protein to make more muscle. (Which is so cool.) That's why not making the most of a cycle by dousing yourself with protein is a waste.
It's also a waste not to train hard. The protein will only be used for repair. If the muscles aren't broken down, there isn't much for the protein to do.