I need to build an air tight system that can hold gas (Argon Gas). I see that most pipes use steel. Is steel tight enough to hold that gas? Argon is very dense, so I think it should have no problem.
Steel is routinely used for high pressure storage of industrial argon. For practical purposes it is certainly 'gas tight' although there may be a certain amount of atomic level diffusion into the material in the long term but this is more about contamination than actual leakage.
As mentioned in comments the quality of mechanical and welded joints is also critical for pressurised gas seals. There are numerous standards which deal with this in a variety for circumstances. In the UK BSP threaded fittings are commonly used for most gasses, including argon as well as a variety of compression and quick release fittings for low pressure applications.
For prototype applications coded TIG welding will generally be preferred for fabrication of the vessel itself and attachment points for fixtures and fittings in terms of both gas tightness and structural integrity. Mass produced gas containers usually use coded automated processes for pressure vessel fabrication in conjunction with in-line quality control testing.