Recently, the poles for a large electricity transmission line were replaced. These are huge, steel poles. But they are not painted or galvanized, and are covered with rust. Why wouldn't they be coated to prevent rust?

They have what is called a self-weathering finish.

Here are a couple of references:

http://www.capx2020.com/Images/Transmission_Line_Factsheet_7-2008.pdf

http://www.itcmidwest.com/development/images/aboutus/profile_salem_hazelton.pdf

Sort of if you can't beat it, join it approach to corrosion.

These need no maintenance of finish.