If it's cold outside, it's most likely condensation from the mixture of hot air from the engine and the cold air and moisture inside the exhaust system and muffler. Once the pipes warm up, the moisture is gone so the steam is no longer there.
It's the same principle of the condensation trails you see in the sky when airliners pass overhead at a high altitude. The heat from the jet engines condense the moisture in the air making a thin strip of "cloud."