There are a few significant differences between the two. First, stealing implies that by taking an object, you are depriving someone else of its use. That isn't possible with movie files. If I rent a movie from the store and rip it to my hard drive, it does absolutely no damage to the disc itself. When I return that movie the next day, the next customer gets exactly the same experience. I haven't deprived anybody of anything.
"Second, and this is the crucial distinction, stealing is a criminal matter, whereas copyright infringement is a civil matter. All of the anti-piracy things you see before movies couch things in terms of stealing for some very specific and nefarious reasons. If you steal something, you can end up with jail time if you are caught. However, with copyright infringement, the only thing the movie companies can do is sue you for damages. There is no way that you will ever end up in prison for infringing copyright, which is the most important difference. Movie studios and anti-piracy groups put it in terms of stealing for intentionally misleading purposes – they want to scare people into not pirating films because, when it comes down to it, they have no recourse whatsoever."