Corticosteroids are anti-inflammatory, reducing the number and activity of various inflammatory cell types, including lowering blood lymphocyte, monocyte, and basophil counts and preventing neutrophils from reaching sites of inflammation. So why do corticosteroids increase the number of neutrophils in circulation? 

The effects of corticosteroids reducing the infiltration of neutrophils to sites of inflammation within tissues and increasing the number of neutrophils staying in circulation are two sides of the same mechanism.

Surface expression of proteins, such as L-selectin, is involved in the rolling capture and adherence of neutrophils to blood vessel walls, which is necessary to enable extravasation through blood vessel walls and migration into tissues. Corticosteroids acting via glucocorticoid receptors regulate the expression of many genes involved in inflammatory responses. They reduce the expression of pro-inflammatory chemokines, selectins and other proteins that promote neutrophil adhesion to blood vessel walls and increase the expression of anti-inflammatory proteins such as annexin-1. Among other actions, annexin-1 triggers the shedding of L-selectin, causing de-adherence of neutrophils already attached to blood vessel walls and reducing further rolling capture at the blood vessel wall.

Thus, corticosteroids reduce adherence of neutrophils to blood vessel walls, inhibiting migration out into tissue to reach sites of inflammation while at the same time increasing the number of neutrophils remaining in circulation.

In addition to (1) reducing the migration of neutrophils out of the circulating pool into tissues, corticosteroids (2) increase the movement of neutrophils from bone marrow into circulation and (3) inhibit the apoptosis of neutrophils, delaying their clearance from blood circulation. Together, these mechanisms contribute to corticosteroid-induced increases in blood neutrophil counts.