Lighter bicycle locks not made of steel
There isn't all that much point. 

We have a lot of knowledge on how to make steel tough. It's also pretty cheap. This basically makes it win-win for manufacturers: use enough tough steel in a good structure with a good locking mechanism to get a decent lock. It doesn't cost a lot and its easy to fabricate. 

The weight of many good locks is not that much to begin with; the main design goals with a U-lock is to leave as little space as possible to get a jack in, hard enough to cut, and has a proper lock mechanism. So, locks like the Kryptonite Evo Mini line are very good for many locking jobs and don't weigh all that much (about 1.5 lbs for the Mini 6). So, there's not all that much point in reducing weight. 

There are some locks which are not steel -- Tigr makes titanium locks, for example. But they're less well known and twice the price of a high quality steel lock, such the well tested Kryptonite New York Lock line. And the smaller units don't necessarily hold up.