It is stealing.
ANNNDD if I wanted to I could've returned Skyrim for something else. JS.
I can't. Also, it's not that piracy isn't wrong, it's that it isn't stealing. (As in, theft, within terms of THE LAW.)
Here's how it works.
Someone copies a game to their computer and "cracks it". This is a violation of IP laws, reverse engineering software, or pretty much anything you can actually charge someone for. However, the person violating a copyright is not stealing a product and depriving that company of a copy of that product. So they've got a bootleg copy of the same product, but did not remove any copies of the game from the store or steal any CD keys or whatever have you. From a moral standpoint, this is wrong to a great deal of people, but it does not legally qualify as theft, because nothing is taken.
In essence, those aren't lost sales, but lost sale opportunities. Just because someone is willing to get something for free, doesn't mean they're willing to pay for it. This is akin to people not buying bottled water at Disney World because they feel it's overpriced, but they simply go to a drinking fountain.
A correct anology however would be, someone copies a book and hands them out to random people. It's wrong yes, but the people taking the books haven't stolen anything.