From the Warnings section of ?step:
The model fitting must apply the models to the same dataset. This may be a problem if there are missing values and R’s default of na.action = na.omit is used. We suggest you remove the missing values first.
So you should do:
no.na.data <- na.omit(data[c(predictors, response)])
model <- lm(formula=as.formula(paste(paste(response,'~', sep=''),
paste(predictors,collapse='+'), sep='')),
no.na.data)
step(model)
