Nick is exactly right, though I'll add one more point. It is important that your honing rod is significantly harder than the knife being honed. Specifically, the rod needs to cut into the knife, rather than vice versa. If the knife is harder than the rod, the knife bites into the rod and since the rod is moving along the rod it is likely that it will at very least pull off small chunks of steel from the knife. In many cases, it will pull off large sections. Ceramic rods will always be harder than a steel knife and so are a better choice for harder knives (like Japanese knives). Even on softer knives, such as German knives, a ceramic rod will generally keep knives sharp about twice as long as a metal rod.
The only reason that metal rods exist is that knife companies frequently make them and they generally make things out of steel. If they wanted to make a ceramic rod, they would need to pay a separate company to do that part, which is more costly for them.
