most coilovers use alum for most of the construction. but many still use steel parts. be watchful of the threaded spring perches as these are usually steel and see considerable wear (from adjustment). if you see the rust then try and get rid of it and treat it to prevent it from happening again.
i usually end up rotating tires about twice a month, so makes it convenient to run a rag over everything and clean it up.
kw makes stainless steel coilovers that supposedly never rust, but not for the 240 yet. heres their propaganda
http://www.kwsuspensions.com/inox.htm