Apart from anabolic steroids, Whey protein is the best supplement to build muscle mass and here are the reasons listed on http://gbcworldnews.com/index.php/2016/08/19/why-whey-protein-is-the-bes...

Also, the main effects of whey on muscle/strength are:

Building Blocks: It provides protein and amino acids, which serve as building blocks for increased muscle growth.
Hormones: It increases release of anabolic hormones that can stimulate muscle growth, such as Insulin (13).
Leucine: It is high in the amino acid Leucine, which is known to stimulate muscle protein synthesis at the molecular and genetic level (14, 15).
Fast Absorption: Whey protein is absorbed and utilized very quickly compared to other types of protein