If I were to hazard a guess:

1. The unit price of games is higher than any other media form. What do you pay for your TV shows? Probably not much with a subscription (or ad supported). Movies? $10-$15 a pop at the local theater. Music? Virtually nothing. And the higher price is supported by the following point:

2. Games are interactive and, hence, more engaging. You can spend dozens of hours in a game world and return back to it as desired. Even more so if it’s multiplayer where the lucrativeness is further enhanced by ongoing DLCs and other monetization schemes.