Likely not a bug, here’s a list of ports needed for Steam here on support https://support.steampowered.com/kb_article.php?ref=8571-GLVN-8711

Also possibly reporting what connection failed on the terminal output so an advanced user could troubleshoot the link.

Well, I changed some of my rules and now it's working without having to open those ports.

The rules are: (Sorry, I don't know how to make quotes on this site hehehe)

iptables -N TCP
iptables -N UDP
iptables -P FORWARD DROP
iptables -P OUTPUT ACCEPT
iptables -P INPUT DROP
iptables -A INPUT -m conntrack --ctstate RELATED,ESTABLISHED -j ACCEPT
iptables -A INPUT -i lo -j ACCEPT
iptables -A INPUT -m conntrack --ctstate INVALID -j DROP
iptables -A INPUT -p udp -m conntrack --ctstate NEW -j UDP
iptables -A INPUT -p tcp --syn -m conntrack --ctstate NEW -j TCP
iptables -A INPUT -p udp -j REJECT --reject-with icmp-port-unreachable
iptables -A INPUT -p tcp -j REJECT --reject-with tcp-rst
iptables -A INPUT -j REJECT --reject-with icmp-proto-unreachable
iptables -A TCP -p tcp --dport 80 -j DROP
iptables -A TCP -p tcp --dport 443 -j DROP
iptables -A TCP -p tcp --dport 22 -j DROP
iptables -A UDP -p udp --dport 53 -j DROP
iptables -A TCP -p tcp --dport 6881 -j DROP
iptables -A TCP -p tcp --dport 8881 -j DROP
iptables -A UDP -p udp --dport 6881 -j DROP
iptables -A UDP -p udp --dport 8881 -j DROP
iptables -I TCP -p tcp -m recent --update --seconds 60 --name TCP-PORTSCAN -j REJECT --reject-with tcp-rst
iptables -D INPUT -p tcp -j REJECT --reject-with tcp-rst
iptables -A INPUT -p tcp -m recent --set --name TCP-PORTSCAN -j REJECT --reject-with tcp-rst
iptables -I UDP -p udp -m recent --update --seconds 60 --name UDP-PORTSCAN -j REJECT --reject-with port-unreach
iptables -D INPUT -p udp -j REJECT --reject-with icmp-port-unreach
iptables -A INPUT -p udp -m recent --set --name UDP-PORTSCAN -j REJECT --reject-with icmp-port-unreach
iptables -D INPUT -j REJECT --reject-with icmp-proto-unreachable
iptables -A INPUT -j REJECT --reject-with icmp-proto-unreachable

@kisak-valve Are you sure? Because to me it was opened:

iptables -A INPUT -i lo -j ACCEPT

Anyways, I'm not sure why you guys are going through years-old threads. It's not like it's going to make a difference. You could concentrate these efforts into new threads.

Regards,
Amarildo