I did the calcs some time ago (here on IIS somewhere...) but the basic results are that Young's modulus for concrete is about 10x less than steel. This mean that for a given diameter steel is 10x stiffer, which means higher vibration frequency and lower amplitude. Packing a hollow steel pier with sand will help to dampen vibrations, but will add mass and lower the vibration frequency.
Having said all that, honestly, I doubt it matters much. Most piers are so over engineered that the differences are simply too small to detect (which is what we want

). If you want to design a pier that is the lightest possible that will give good performance, then steel is the way to go, otherwise... it won't matter

. Whatever you prefer is the correct answer.
Al.