The same reason why the Cowboys drafted Rod Hill in the first round, Cleveland drafted Manziel, Indy drafted Richardson a few years back, etc...... maybe the team thinks they see something no one else does, maybe they think they can be the team to put the player in the best situation to maximize their talent, or maybe they feel the need to take the gamble to fill a hole in their roster.
As noted, the Steelers have fucking Mason Rudolph and Skyler Thompson as their quarterbacks and while we know what their NFL floor is we also know what their ceiling is and it isn't much higher. Sanders might have a much lower floor, he might even implode everything at Pittsburgh, but he also could be better and if it doesn't work then it is time to make a complete change.
Remember that Sanders at quarterback is going to be cheaper than any free agent quarterback and if you are the Steelers and need money elsewhere why tie money up in shitty free agents who aren't going to get you where you want to go as an organization.