It's very different from stealing something material, there is that stupid saying "you wouldn't pirate a car". The thing is, when you pirate you make a copy of something for yourself, you don't take it away from anyone. So all the company loses is the transaction, not actual product.

Why is it ilegal? Why do companies spend money trying to avoid pirating? Because pirating CAN have a significant impact on sales numbers if it goes unchecked, and it has hurt other industries in the past too, but i do belive the gaming industry has mostly adapted to pirating, and games aren't really that affected by it anymore, even then, companies like Nintendo are still spooked by it, and go out of their way to sue developers of emulators, unnoficial ports and even fan games. The thing is if you pirate in the way I think is 100% correct, the company doesn't lose anything, you are only pirating if you wouldn't be able to buy the game anyway, so instead of not buying the game and not playing it... you don't buy the game but still play it. There is even a case to be made that it's good for the game being pirated, as the person who played it is now invested, and might eventually buy another game from the company, like a sequel, or even the same game they already played, if they just didn't play the game because of not being able to buy it, that would just be a lost customer. I think this is generally how people aproach it nowdays too, as it's much easier to just buy the game if you can.

I pirated a lot of games when i was a kid, i just didn't have the money to buy them, nor did my parents, nowdays i spend an embarassing ammount on the games I love, but i don't think i would even have had gaming as a hobbie weren't it for pirating when i was younger, being able to play all those games is what allowed me to develop my care for this industry.