The step count and calories burned values displayed after you select "Walking" for Activity show values for measurements during the current walking session only. Because of this, an activity always starts from zero.
Steps and calories burned during daily life while no activity is in progress represent totals starting from midnight on the currents day. Because of this, you may get the impression that the number of steps and calories are decreased immediately after starting a walking session.
Note, however, that once you finish a walking session, the display returns to showing your total number of steps and calories burned, starting from midnight of the current day.
2000 steps immediately before you start walking. → 4,000 steps during a Walking session. → 6,000 steps immediately after the Walking session.