Copyright infringement is not theft. Theft implies that the person the item is stolen from no longer has the item. But that's beside the point.
I seldom download movies or tv shows from the internet. I have Netflix and that does ok for most movies I'd care to watch. I often buy CD's as well. However, sometimes I want to download things that I can't get elsewhere. Like missed episodes of TV shows, for instance. (I often buy boxed sets, but sometimes I just want the latest one when I miss it)
While I agree, there's always going to be a number of people who will pirate everything under the sun, there's also people who simply aren't being served effectively who turn to piracy out of desperation, because "legal" alternatives either aren't available or cost far too much. For example, I don't buy MP3's because they're too expensive, it's just as cheap (and often cheaper!) to buy an actual CD.