I am terrified of elevators...

I am terrified of elevators. I’m going to start taking steps to avoid them.

This is a pun. The critical element of the pun is the phrase "taking steps". Taking steps is a colloquial phrase that means "To initiate a course of action". So, the jokester is actively trying to avoid elevators and is willing to make an effort to ensure that they do not come in contact with them.

At the same time as that parsing of the sentence is reasonable, someone could also replace using elevators with using stairs if they were scared of elevators, and though the phrase "taking the stairs" might be a more common way to say that, "taking steps" doesn't sound too weird.