It is theft, but it's not quite the same.
If somebody downloads a movie that they could have gotten on a Blu-Ray disk for $20, that doesn't mean the industry is out $20 -- if the person had to pay full price, they might not have gotten the movie at all. Downloads probably do displace purchases to some extent, so it's fair to say that this costs the industry some lesser number, say $5.
This has to be seen in the context of the ecosystem too. I've neither bought nor stolen music in the last year -- I just haven't been looking for music than I haven't already got. This is bad for the music industry, but I'm not stealing from them.
If a person goes to the theatre with his kids every other week and buys an optical disk every so often and also illegally downloads a movie from time to time, the movie industry might not be getting 100% of the cash they want, but they've got an engaged customer who's spending $80 a month on their products and who's always telling his friends about movies he likes. If the music industry tried to tighten the screws on this person because they think they can get $120, they may end up getting $0, just like the music industry ends up getting $0 from me... not because I'm a pirate, but because I'm disengaged.