  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.
