A lot of bands also don't seem to mind.. it's usually the record labels bitching and moaning
I saw a band recently who played some new (unreleased) songs and the crowd already knew the words.. the band were pretty happy about it. True fans will buy their CDs anyway, plus they make money from the tour and merchandise etc.
I'm not saying that downloading copyrighted material is moral, just or legal, but comparing it to walking into a shop and stealing a CD is absolutely ridiculous. Besides, the record company only lose money IF YOU WOULD HAVE BOUGHT THE CD IN THE FIRST PLACE.