Au contraire.
There is always some heat generated even if it is negligible and forces are always involved in movement. One of which is friction. :roll:
As has been mentioned correctly by downsouth the term for the overall effect is rolling resistance.
Friction is a force, but unless there is movement between the two surfaces involved (ie slipping or skidding), no work is done at this particular interface so no heat is generated. There may be a small amount of micro-slipping, but if this is negligible they by definition is can be ignored compared to other heat sources nearby. If the friction between wheel and road/rail generated heat, then the wheels of vehicles stopped on slopes would also get hot, as the same friction force is preventing them rolling away.
Heat is generated in the rubber of a tyre because work is done flexing the rubber as the wheel rotates. The rubber returns to its original shape but the amount of energy this recovers is nowhere near 100% of the energy put in. If you don't believe this then try dropping a tyre and see how much lower the bounce is than the height it was dropped from. The rest of the energy goes into heat in the tyres. You can call this friction between the molecules of rubber if you like. And incidentally it's why you can reduce your fuel consumption on the road by putting more air in the tyres - the higher pressure reduces the amount of flexing.
Steel is much less compressible in the first place, and the proportion of energy lost through flexing is very much lower. Think of those desk toys where steel balls swing on strings and bounce off each other - they can carry on for quite a long time before their energy is dissipated. If you made one of those out of tyre rubber it would be much less successful!
This is the main reason for the much higher rolling resistance of road vehicles compared with trains.
http://en.wikipedia.org/wiki/Rolling_resistance