The bar is made of steel, the weights are made of cast iron. Steel is stronger, hence its use for the bar that must withstand deflection. Tools and equipment that are used to get things done are mostly made of steel, as the primary thing they need is strength.

I thought you were wrong, but it turns out a lot of cheaper plates are indeed iron. Bumper plates used in weightlifting, the kind I normally use, are steel though, which explains my confusion.