For starters, unless you somehow find the way to magically create matter from the void, then there is a cost, there is always a cost. The cost of the storage involved in the media, the cost of distributing it (even if it is electronically), etc There is always a cost, even if it is too small to notice at first glance.
Then, and here it is the part that is hard for you to understand (that, or either you are rationalizing theft... which wouldn't surprise me either, people rarely admit they are doing something wrong, even while committing the most heinous crimes ever), there is a cost directly related to the loss of income for the value creator.