A couple of thoughts...
A steel voice coil would tend to be attracted to the side of magnetic gap, potentially requiring a much stiffer spider and cone surround and probably, wider gap. Manufacture would be ok because it is magnetized after assembly, it would be a real alignment problem the surrounds needed replacing though. Also (as andy3055 mentions) the voice coil would become magnetized and non linear. The factory magnet energizing process would magnetize the coil to saturation level - it might actually propel it (and the cone) out of the assembly.
Ferrofluid is an excellent solution for increased flux, particularly in tweeters where it also provides mechanical damping. Unfortunately the carrier fluid eventually evaporates, leaving a nasty sticky ferrous mess that is almost impossible to remove. Not a problem if you accept that the driver is going to have a limited life and its characteristics are going to slowly degrade.