In a game players take turns saying up to 3 numbers (starting at 1 and working their way up) and who every says 21 is eliminated. So we may have a situation like the following for 3 players:
Player 1: 1,2
Player 2: 3,4,5
Player 3: 6
Player 1: 7,8,9
Player 2:10,11
Player 3:13,14,15
Player 1: 16,17,18
Player 2: 19,20
In which case Player $3$ would have to say $21$ and thus would be eliminated from the game. Player $1$ and $2$ would then face each other.
In the case of a two player game, the person who goes second can always win by ensuring the last number they say is a multiple of $4$.
Let us say we are in an $N$ player game, and that I am the $i^{\text{th}}$ player to take my turn. Is there any strategy that I can take to make sure I will stay in the game? For example in the simple case of a $2$ player game the strategy would be 'try to end on a multiple of $4$ and then stay on multiples of $4$'.
Community wiki answer so the question can be marked as answered:
As Abstraction pointed out in a comment, there is no such strategy (except in extreme cases) because the other players can cooperate against you; they have a wider range of options, collectively, than you do, so you can't use the sort of strategy that you can use in the two-player version.