What do you do when your bike chain keeps getting loose?

(if it's the actual platforms that go under your feet that you're talking about)

It's usually not a problem. They're threaded (the left has a reverse thread) so that normal pedalling action tightens them down as you go. Lube the threads, install with moderate torque and you should be good to go.

(If it's pedals and cranks, the arms that the pedals are attached to that you're talking about)

Cranks can, and do come loose occasionally. The cranks being aluminum and the axle being steel usually means that the cranks gets badly damaged unless you get it fixed immediately, as it's pretty close to impossible to get a damaged crank properly seated again. To avoid this, grease all the parts and reassemble with the correct (high) torque.