Well, first of all its not stealing. And I am not saying I am an advocate of it, but do not buy into the story of it being a theft. It's not. It is illegal, but theft is not the crime, its copyright infringment. When people are getting prosecuted, its for infringement and not theft.
So while a person who would never consider stealing an item in real life, commits a crime like copyright infringement they might not feel its the same thing, or even understand what infringement is.
Another reason is people might feel its a victimless crime. Unlike theft, where when you take something, someone is missing something, when you download a copy of a movie or show, then no one is losing anything.
Another reason might be that they feel they own a version or are paying for it already, and thus its not a crime. If they want to download a movie as a backup to there dvd that they bought, or download a cd that they lost. Or heck, if they are paying for cable tv, and miss a show they wanted to see, well then its already paid for, and they shouldnt have to pay for it again.
Also, I know a lot of people who download things to try them out. If they like them, then they go and buy them, while, if not, they dont bother. I guess they figure that buying an item they might not have bought without trying it first makes up for the few items they tried but did not buy.
And then there are people who hate the RIAA and the MPAA and all the big industries because of the way they treat customers, assuming everyone is a thief, and so they might as well be one. I remember when CD's first came out and they were expensive, was because the industries said, hey this new process is expensive, as costs go down, so will cds. However the costs got extremely low, but the cds never went down in price. Netting the industry super high profit margins. And lots not forget the whole rootkit fiasco of sonys that went and harmed peoples computers just for listening to the cd.
People can justify it in many ways to make it seem like its not a crime, and some of the arguments I happen to agree with, like downloading something that isnt available in any other way, or getting a copy of a dvd because of the drm on yours causeign it not to play. And I also know a lot of people that have gotten so fed up over the extent of the massive greed of the industry that they dont want even deal with them anymore.
And I am sure I am missing some of the many reasons. In the end, I think its a big issue for the industry, and its not going to be laws and morality commericals that will put a stop to it. It will be for the content providers to figure out a new way to market and sell their products that will solve the issues.