In studies that compare physical activity between groups of individuals, it is common for physical activity to be quantified by step count, which is measured by accelerometers or other wearable devices. Missing step count data often arise in these settings and can lead to bias or imprecision in the estimated effect if handled inappropriately. Replacing each missing value in accelerometer data with a single value using the Expectation–Maximization (EM) algorithm has been advocated in the literature, but it can lead to underestimation of variances and could seriously compromise study conclusions. We compare the performance in terms of bias and variance of two missing data methods, the EM algorithm and Multiple Imputation (MI), through a simulation study where data are generated from a parametric model to reflect characteristics of a trial on physical activity. We also conduct a reanalysis of the 2019 MOVE-IT trial. The EM algorithm leads to an underestimate of the variance of effects of interest, in both the simulation study and the reanalysis of the MOVE-IT trial. MI should be the preferred approach to handling missing data in accelerometer, which provides valid point and variance estimates.