As others have noted, it depends on what you're looking for, but almost the entire reason I'm into C&V is because I think C&V frames are a relatively economical way to get the kind of bike I want. There are a few cutoff points where vintage frames don't play well with new components -- disc brakes, thru axles, threadless stems, electronic cable hiding, and very wide tires are the things that jump to mind for me. Depending on the age and intended use of the vintage frame you're talking about, tire clearance might be as little as 700x25 with no fenders or as much as 700x35 with fenders. There are ways to retrofit disc brakes, but I wouldn't do it. Another factor is that most modern components don't look right on a vintage frame, but that's mostly a matter of relative proportions and tube size, so you'd have that with a newly built lugged steel frame too.
If you get a new steel frame, you're generally talking about $800-$1000 for a production frame without lugs. It might have a nice set of modern braze-ons, and it'll definitely have pristine paint or powder coat. A custom built frame generally gets you into the $2500 and up price range, but adds geometry and fit custom tailored to your size and riding preferences and you can probably add things like lugged construction if you want. I'm generally willing to say that these custom builds are probably worth it if you have the kidney to spare or other sources of funding. So I'm comparing vintage frames to the production steel that's available.
With both vintage frames and modern production steel frames, fit and geometry are a bit of a crap shoot. Many sizes and geometries are available from both sources, and if you know how to look you can generally find what you want either way. IMO, vintage has a big advantage here because you can buy something, try it out, and resell it for very near what you bought it for (maybe even more) if you aren't quite satisfied. That's not true with a new frame. But let's assume that with either new or vintage you are able to find the fit and geometry you want. The advantages of the modern frame then are showroom quality finish and selection of braze-ons. Both of these can be added to vintage frames if you're willing to spend the money.
If you're willing to live with whatever braze-ons you find the frame with and a slightly less than perfect finish, the vintage frame will be much cheaper. Another consideration is that with vintage frames, there is a much higher ceiling available for quality. A sub-$1000 production frame is generally going to be 4130 steel and have no fancy craftsman features. A lot of vintage frames are available dirt cheap with something like Reynolds 531, Columbus SL, or Tange #1 tubing, and for a bit more money you can start getting things like fancy lugs, pantographs, and chrome bits.
Let me give a couple of examples to reason through the economics of this. I'm not particularly frugal, so I think this is a reasonable baseline. With time and patience, you could do much better.
Example #1: 1972 Motobecane Grand Record
I got this frame in very rough shape and paid an accordingly low price -- $30.
This frame has double-butted Reynolds 531 main tubes, forged Campagnolo dropouts, and Nervex professional lugs. The paint was shot and it had no braze-ons. I spent $125 to have water bottle bosses, downtube shifter bosses, and a few cable guides brazed on. I spent another $375 having it powder coated and $70 for decals. So for an investment of $600 I had this:
Apart from the French threading (which has a certain charm), I'd put that up against any production steel frame you can get. I spent almost another $1000 on the build (did I mention I'm not frugal), so the complete bike ended up putting me at $1560. That's definitely getting into the ballpark of what you'd pay for a nice, complete new bike. The advantage of my vintage build is that I got exactly what I wanted for every bit.
For example #2, I want to explore what you can do if you don't need to refinish the frame. This is a 1996 Masciaghi-built Fausto Coppi Reparto Corse with Columbus Genius tubing, lots of chrome and pantographing. It fits 700x28 tires but has relatively racy geometry. The paint has a few chips, but it's generally nice. I got this frame and fork for $256, which is a great bargain but not outside the realm of what is commonly available in the C&V world. Obviously, you won't find a new steel frame anywhere near this price.
All built with a 3x10 Shimano 105 drivetrain and nice wheels, it set me back $1205. You can't beat that in the new market.
Example #3 is an illustration of the upper end of what you can do with vintage frames. This is my 1975 Stella SX-76. I got the frame, fork, and headset for about $150. Though it may not look like it here, the paint was pretty much shot, but the chrome was very good. The tubing is a rather unusual metric-sized Columbus set that I think is basically SL in metric sizes. The derailleur hanger had been cut off, but Gugie repaired that before selling me the frame.
I got Gugie to braze-on water bottle bosses, which I think was part of swap that was too complicated to fit in my spreadsheet. Let's figure $90 for two pairs. Everything else I left clamp-on because I wanted to retain the spirit of the vintage frame. Instead of powder-coat, I wanted nice paint for this one. I sent it to Jeffrey Bock, who did the paint along with decals, lug lining, and a minor repair to the seat cluster for $995. That may or may not have included round-trip shipping. I didn't put that in my notes. Anyway, for $1235, I had this:
Is that a good deal compared to a new frame? I really think it is. Apart from custom sizing and geometry, this is like what I'd expect from a custom build at more than twice the cost. I splurged for NOS Campy 3x10 drivetrain components, new Campy Centaur brakes (which I converted to nutted), and good wheels with what you can see are my favorite rims. All in, I've got just over $2000 invested in this. You can definitely get new bikes cheaper than that, but can you get a new bike of this quality?
So that's my case for not buying new steel frames.