Colloquially, piracy is stealing in that you're taking what doesn't belong to you. Technically it is not, or to be more precise piracy is not theft; it's a violation of copyright law.
To use a popular analogy; imagine someone steals your car at night, and in the morning it's still there.
Theft-stealing implies not only taking for yourself, but depriving the rightful owner of its use completely. With software piracy the rightful owner can still sell the product you've pirated. A portion of pirated software may translate into lost sales, but it's not a 1 to 1 correlation. If you shoplift a candybar from a store, the store not only can't sell the candybar, but loses the costs of transportation, inventory, stocking, and replacing that candybar.
Piracy may not deprive the owner of the objects use, but it does deprive them of their rights to set the terms under which their creation is used and distributed (you give us $85 you get X hours of entertainment). If few agree to those terms, then market forces take over and the price will drop. And then not all, but more copies of the game that were pirated when the price was high translate to loss of sales now when the price is lower, et cetera. The long and short of it is; it's theirs and they can set the price to whatever they want. You're also welcome to disagree with them and call them idiots all you want, but you are not free to take from them their rights as the creators of that art.
The nature of the product means that theft and piracy should be considered separate crimes because they hurt the victim differently, they benefit the perpetrator differently, and they have different levels of difficulty in both the commission of the crime and the catching of perpetrators.
[/unsolicited lecture by a non-expert]