Piracy usually involves downloading something for free that you wouldn't have bought anyway, e.g. torrenting a $500 program that you wouldn't pay $500 dollars for, or even torrenting a $5 movie that you wouldn't pay $5 for.
When you steal, the store or original company loses a physical product, which translates to monetary loss. When you download, you make a copy, which translates to free stuff out of thin air, without any loss for the company (unless you would have bought it if piracy were not an available option, which is rare).
Piracy does create significant revenue loss by discouraging the purchase of items. There are people who used to buy expensive products that have turned to piracy. However, piracy enables the underprivileged to get their hands on expensive programs that they would never have bought.
Example: If you never wanted to buy Microsoft Office in the first place but ended up downloading it for free, then you technically did not decrease Microsoft's revenue at all.
