You may have to be careful here depending on your operating frequency, lengths involved, acceptable losses, and the details of the steel wire such as its surface treatment.
At RF frequencies, the high permeabililty of ferrous metals makes them lossy (small skin depth). Consider:
1 meter long AWG14 wire at 100MHz:
Mild steel (resistivity 0.2u-ohm-m, and ur = 800) yields 49 ohms resistance.
Copper (resistivity .0169u-ohm-m, and ur = 1) yields 0.5 ohms resistance.
Also, steel is not all the same. Stainless steel has ur = 1. Galvanized steel wire will have a layer of zinc which may be thick enough to carry your RF current, or maybe not, you would have to know the plating thickness and do the math.
For an antenna, you want the conductor resistance to be sufficiently below the radiation resistance of the antenna. For example a halfwave dipole antenna with radiation resistance of 73 ohms, 10 ohms of conductor resistance causes 1dB of loss. This may be ok in some applications, but if it is a high power transmitter you can have a lot of heat coming off of the wires, and since it is a skin depth issue, just going to a bigger wire may not be the answer.
If the radiation resistance is very low the problem is worse. For example electrically small loop antenna made resonant with lumped components at the feedpoint are sometimes built out of 1/2 inch copper plumbing pipe and still have low radiation efficiency due to copper losses.
As mentioned by previous poster, copper clad steel (CCS) wire is popular for antennas, skin effect confines RF current to copper. CCS cable is used for CATV cable for the following reasons:
1 - Copper cladding is thick enough that skin effect limits current to Cu minimizing loss.
2 - Copper cladding is thin enough that it is too expensive to reclaim the Cu from scrap. This makes the cable not a target for theft.
3 - The steel center conductor is strong enough to serve directly as the male connector center conductor.