Actually, the body does, which is why many drugs are difficult to detect and also why appeals are possible. Anabolic steroids are derived from testosterone, the main male sex hormone (that is present in both men and women). The drug they tested positive for, nandrolone, occurs in very small quantities in the human body. For most such drugs, a positive test indicates that the level is much higher than what is natural.
zMario is correct in referring to eating meat, as nandrolone isn't detectable in urine. Instead, they look for a substance that is the result of the body processing nandrolone. Studies have shown that a high-protein diet combined with heavy cardio can cause a false positive.
However, it was evident that the incident was mishandled. The players were not required to prove that they hadn't taken the steroid and I'm not sure anyone really understands the process that did take place, where they were banned, then not banned, then "injured" then rendered immune to subsequent enquiry by international drug testing bodies.