News Grand Theft Auto IV Will Return to Steam, but Without Online Multiplayer Support

Rockstar Games blamed GTA IV's removal from Steam on Games for Windows Live

This is just a lazy excuse. Batman Arkham Asylum and Arkham City were both originally GFWL games but when Microsoft announced it was shutting the doors on it they re-worked the game to run on Steam directly.

Rockstar is just being lazy. However GTA IV is a very old game and doesn't have the player base to really expect them to put much effort into it.