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Quantum steering is observed when performing appropriate local measurements on an entangled state. Here we discuss the possibility of simulating classically this effect, using classical communication instead of entanglement. We show that infinite communication is necessary for exactly simulating steering for any pure entangled state, as well as for a class of mixed entangled states. Moreover, we discuss the communication cost of steering for general entangled states, as well as approximate simulation. Our findings reveal striking differences between Bell nonlocality and steering and provide a natural way of measuring the strength of the latter.