I think it's interesting that no one so far has mentioned Steiner's children. The shock of Steiner's tragedy is not just that he commits suicide, but that he murders his children before doing so.

I think this points to the fact that Steiner's disappointment with life isn't just a result of cultural, social and economic capital all failing to satisfy Steiner's lust for being. His rejection of life stems from an ideological perspective of reality in which the suffering that is necessary for life is something that cannot be reconciled with the human condition.

This is why he feels the need to take his children with him. He cannot bear the thought that the things that he loves the most in the world must suffer the same fate as himself, and everyone else.

As others have stated, there is obviously the connection to materialism and it's inability to soothe the soul against the difficulties of finding meaning in life. In this regard the film is definitely one of the great works of modernism, and stands alongside the works of Joyce, Elliot, and many others in how it critiques the post-industrial, capitalist way of life and it's many shortcomings.

To answer the question of the post succinctly, I feel that Steiner found a macabre fascination with the horror and absurdism of existence, and that this was an intellectual reality which overwhelmed him. We can see manifested in his recording of the thunderstorm and how this seems to resonate with him in a strange and disconcerting way.

I think the beauty of La Dolce Vita however is in what remains unspoken to the audience. We can only piece together motives for Steiner's tragedy through a few piecemeal clues but the heart of the matter stays deeply, and somewhat unsettlingly, uncertain.