I read a study once where balding men were found to have higher testosterone levels than men with a full head of hair.
People who take supplements to boost testosterone levels (like Sust 250) report an itchy scalp (it'll freakin drive you crazy, but don't ask me how I know). This has been attributed to the higher testosterone levels that are associated with those steroids.
It effects everyone different, and it depends on the dosage and frequency of these "supplements".
So, I would say hair loss is not related to body building per say, but rather to the levels of testosterone in the body. At a bodybuilding gym, there are going to be a higher percentage of people taking testosterone boosting supplements, hence there will be a higher percentage of balding men (or women) in there.