South Africa have exited the 50-over showpiece tournament in three semi-finals, a quarter-final and in the first round of the 2003 event they hosted.
They are still licking their wounds from that disappointment and are attending a conditioning camp at Pretoria University's high performance centre but Steyn said the 'chokers' tag struck a nerve because it was unfair on a side with fresh blood in it.
"For me, to be labelled as 'chokers' really sucks," he told Reuters.
"This team is made up of a lot of young guys who will play for South Africa for a long time. Why are we being called chokers, a lot of us have never been to a World Cup before!
"I've played in two T20 World Cups but there was hardly a year between them and you could hardly pick yourself up from the last one. It was extremely disappointing what happened in the West Indies, but we have another opportunity at the end of this season and hopefully we can get this monkey off our back."
The world's number one ranked fast bowler in test cricket said his team were getting themselves sharp for the World Cup in India [ Images ], Sri Lanka [ Images ] and Bangladesh, playing just 13 one-day internationals before their opening match on Feb. 24 against West Indies in Delhi [ Images ].
Their commitments before the World Cup are three one-dayers against Zimbabwe, five ODIs and two tests against Pakistan in Dubai [ Images ] and three tests and five ODIs at home against India.
"With the World Cup just around the corner, we need to have the perfect side to play in those conditions, players that will fit like a glove," said Steyn.
"If you ask me one year from now what was the highlight of the season, whether it's beating India at home in a test series or the World Cup, let's be honest, we want to bring that trophy back with us."