It is theft of intellectual property, rather than the theft of tangible goods. The end result is the same. Someone worked hard, spent money, did whatever to build something, write something, compute something, and someone else aquired it without the consent of the owner of said item.
Now, it is true that copyright does protect the owner of such intellectual property (and tangible goods too) from unlawful copying, but it is defined as a crime by most countries.
Of course with most software today, it isn't so much about having it .. software companies generally give you a copy for free, but you have to purchase the license.