Steel? Who’d build something like that out of steel? Anyway, it would be constructed from materials obtained from asteroid mining, having to move all the materials necessary up the gravity well would put too much extra onto the costs, and wouldn’t be feasible anyway, apart from being pointless once you’ve reached the level of engineering sophistication and materials development required to build something like that. Single-crystal monofilament, construction diamond, Von Neumann machines, solar-mirror furnaces for smelting alloys in weightless conditions that are difficult to manufacture in gravity, materials like LiquidMetal, that Apple are working with; an injection-moulded metal that has no crystalline structure, making it very light, very hard, and very strong.
In any case, there are already two Death Stars in our solar system, each the size of a small moon.
Oh, wait, actually…
http://www.slate.com/blogs/bad_astronomy/2012/12/07/death_star_moon_saturn_s_icy_moon_tethys_seen_by_cassini.html