That all has to do with the quality of the components. Stainless steel and chrome (which is usually just a high-grade of stainless these days) depends on the Chrome content of the steel for rust prevention. The higher the Chrome content, the more resistant it is. The thickness of the components also plays a heavy role as well. Thin pipes/components wear out more quickly due to the expansion/shrinking when heated/cooled.
Steel piping is VERY prone to rusting, especially in northern states where salt is used on the roadways for ice and snow. Aluminized steel piping is pretty common and fairly cheap and resists rust quite nicely for many years. Again, though, the salt used on roadways accelerates breakdown (the aluminum corrodes and exposes the steel).
About the only exhaust system that will NEVER rust would be one that is made from extremely high Chrome content stainless (quite expensive) or, of course, Aluminum.