To "steal" is to take another's rivalrous property without permission, such that you now possess it, but they no longer have it.
To "infringe a copyright" is to make and distribute a copy of another person's work without their permission.
Both illegal, but very different things. What targets of copyright infringement are losing is not their property, but the potential extra profit they could have made if they'd retained their monopoly on the ability to copy and distribute their work.
Stealing is illegal because it deprives people of their property. Copyright infringement is illegal because (theoretically) it leads to a world where people are less incentivized to create things because they won't be able to profit as much.