How old is the headset? A "brinelled" headset with little dents for the balls will be very difficult to ride no hands. Try turning the fork with your hand close to the crown and see if you can feel fork indexing as the balls fall into then are forced out of the dent's. (I say "brinelled" in quotation marks because what happens to headset crowns is simply wear and not caused by actual denting, but those dents have been called brinelled for decades.)

Ben