If you download something without having a license/copy of your own, you're not stealing any physical property. There are multiple kinds of property though, and physical property (a candy bar) is just one of them. Someone does not make an immediate loss through theft of software, since production costs required to make the stolen unit aren't being lost.

There is more than just production costs, though, fixed costs for example (research & manhours needed to create the game). These rely on enough units being sold to break-even... and maybe even profit in order to get a business running and to create future products. You may not be robbing the enterprise of money required to produce your copy, like with a candy bar, but you're (illegally) robbing them of various other things that matter just as much in today's economy.

Now, you can say that you wouldn't have bought the product anyways, so you're not robbing anyone of ANY money. You may not, but again, there's more than physical property these days, like intellectual property. Stealing that is still considered stealing, unfortunately.