Observe what happens to the mass of iron (steel) wool when it undergoes combustion in an open system.
Air (Gas) + Iron Lattice (Solid)
When you burn a piece of paper or wood, it usually gets lighter because gases like carbon dioxide escape into the air. However, when you burn steel wool (which is mostly iron), the mass actually increases!
This occurs due to the Law of Conservation of Mass. The iron isn't vanishing; it is actively combining with invisible oxygen molecules from the surrounding air to form a new solid substance called Iron Oxide ($Fe_2O_3$ or $Fe_3O_4$).
Because the gaseous oxygen (which was previously floating weightlessly in the room) has now been physically locked into the solid lattice resting on the scale, the digital scale reads the combined mass of the iron plus the trapped oxygen.