How do I get my keys from Coinbase?

Excuse me, I'm a bit confused about retrieving my keys from Coinbase. Could you please explain the process in a step-by-step manner? I'm new to this and want to make sure I handle it correctly. I've heard that having access to my private keys is important for security reasons. So, what exactly do I need to do to safely obtain my keys from Coinbase? Thank you in advance for your help.