When I saw this thread, I thought, "I wonder how quickly Ashland will be mentioned?"
It's true that Ashland and Boyd County are declining in population. Ashland's population has decreased by 1.9% from 2000-2006, while Boyd County's has decreased by 2.6% from 2000-2007. However, looking at the bigger picture, this is actually an improvement over previous decades. Ashland's population decreased by 12.7% in the 1980s and 6.9% in the 1990s. Boyd County's population decreased by 7.9% in the 1980s and 2.7% in the 1990s. Compared to the 1980s, the 2000s don't look so bad.
At the same time, nearby counties have been increasing in population since 2000:
Boyd: -2.6%
Carter: +2.0%
Greenup: +1.0%
Lawrence: +4.8% (this one surprised me a little, because I didn't expect it to be that high)
It's apparent that people are increasingly choosing to live outside of Boyd County (and especially Ashland), even if they work in Ashland. However, they're still coming to Ashland for things like shopping, restaurants, and medical care. I can walk through the mall parking lot on a Friday night, and at least half the cars will be from either Greenup, Carter, or Lawrence Counties, or from Ohio.
As services like sewers and city water have been expanded over the years, there has been less incentive for people to live in Ashland. For example, I live in Boyd County, but outside the Ashland city limits. My house is connected to the sewer and has city water. I can be anywhere in Ashland in less than 10 minutes. Ashland isn't completely run down and falling apart, but why in the world would I want to live inside the city limits when I can get the same house on a bigger lot for less money in the county?
I think the above paragraph explains a lot of why Ashland's population is decreasing. The local economy leaves a lot to be desired, but it really could be a lot worse. Obviously, the oil refinery in Catlettsburg is not exactly struggling.

The steel industry overall has had some difficulties competing with imports, but the situation at the mill in Ashland is actually improving. AK Steel had record revenue and shipments in 2007. A subsidiary of Toyota is going to build a plant across the river in Ohio to manufacture tractor trailer parts (I can't remember exactly what they build), and I think CSX in Huntington, WV is preparing to expand as well. Since the whole tri-state area is sort of tied together, this should help Ashland a little, too.
I write all this because, although Ashland's population continues to decline (though at a slower pace), I live in the area and can honestly say that it doesn't feel like it's declining. I know this is a subjective statement, but I look around and see new restaurants and stores being built, the hospital expanding, and plans for a riverfront park funded by a grant from the federal government, and I almost feel slightly optimistic. Of course, with the state of the nation's economy, who knows what will happen?
The bottom line is that the situation is both good and bad. Would I say that Ashland is the fastest declining city in the state? I guess it depends on your perspective. I probably would have argued that it was one of the fastest declining cities in the 80s and 90s, because it could really be classified as a rust belt city like Pittsburgh. Now, I'm not sure whether it is. I think Ashland is ranked 336th out of 420 Kentucky cities of all sizes in terms of population growth since 2000. There are faster shrinking cities, but most of them are much smaller than Ashland. For comparison, Covington was 328th on that list and Newport was 408th. Surprisingly, Pippa Passes was ranked #1, with a 33.7% increase.

Of course, that only required an increase of 151 people. I think Alice Lloyd College must have expanded.
By the way, all the data I've cited is from the Kentucky State Data Center, but I think they get their numbers from the U.S. Census.
Sorry for the long post, but this is a complex subject.