To steal means that you end up saying "this is mine" or "this is my creation". Piracy is not stealing intellectual property, most of the time all the games/sw/movies are properly credited, and this is the only kind of property involved.
You can only argue that you're being provided a service you didn't pay or didn't have the right for, not that you are profiting from it. Selling warez on ebay, otoh, is profiting if you are providing more than the service of making the copies for you (as they always claim to), but it is not stealing, it's illegal distribution of IP, better known as copyright infringement. Two totally different concepts. Another thing is, that if you buy a warez copy of a DVD you had but broke, you are not doing anything wrong or illegal and neither is the guy to whom you bought it from, provided he knew and can prove that you claimed that you owned the right to have it and he had an original in the first place, making you the responsible person for IP theft. I know this is probaly legally prosecutable in most countries but not morally wrong, and I know this almost never happens in reality.
To claim pirating is stealing is a stupid argument made by the record/movie/other industry especially considering the great lengths they went through to explain that the "goods" aren't physical but intelectual, and then doing everything they can to lock the physical media as if it were a safehouse where the "goods" are kept. Nevermind the inherent flaw of the pricing scheme of a service whose value is abstract. Is it commonly accepted you return a CD/DVD/game with the argument that it's crap? I mean, they're following the same rules as if it was a car or a TV to set the prices (supply/demand, but due to price fixing, mostly demand) but you're not able to enjoy the same rights? They basically refer to the media to catter for this, like a scratched CD, broken case, or blocky video quality, i.e. the physical media not what really matters, even from their supposed arguments of IP.
To clearly understand the issue, pretend you are invited by a friend to watch a movie at his/her place and after the movie ended you notice it's a DVD-R. Did you commit a crime? Did you steal? Should another 20€/$ be added to the "piracy losses" reported? Another one: is it legal to download a movie/show that was on TV the other day but you missed it? After all, you already paid for the service....