It is technically not. Stealing means you have a thing, I steal it, now I have the thing and you do not. You can’t steal a copyright (aside from something like breaking into your stuff and stealing the proof that you hold the copyright), and then a song is downloaded the original copyright holder still have copy.
Calling piracy theft was MPAA/RIAA propaganda. Now people say that piracy is theft without ever even questioning it, so it was quite successful.