In my opinion, it is a matter of copyright law. The laws may be different in Brazil, but here in the U.S. published material is protected by law.
Here's an example. Let's say that I publish a book (yay!) I decide to give a copy of that book to my buddy here, ArcticFox. Now let's say that AF decides to make photocopies of that book and give it to his friends to read. He may not have meant any harm by it, but by doing this without my express, written permission he just violated U.S. copyright law, and I could pursue charges against him, if I decided to.
The exact same thing applies to piracy of computer games. If someone loans a physical copy of a game to a friend - or even sells it or gifts it - it is not a violation. But by making copies of the game to give to his friends - or, more than likely, uploads it to the Internet so anyone can freely download it - that does violate copyright law, and the developers would be well within their rights to pursue legal action against the pirates.
You say that it isn't theft,but it really is. Pirates basically rob the developers of their products. This is money that the companies use to pay their employees (writers, designers, marketing reps, etc) and develop new games. Let's say that a game costs $10 to buy from an online site (like Humble Bundle, since they offer games that have no DRM). Someone purchases the game and decides to upload it to a piracy site. The first day, 10 people download it. The second day, another 10 downloads. Let's say this continues for, say, three months, at an average of 10 downloads a day.
At the end of three months, that is approximately $900 in lost revenue. Sure, some people might dismiss that as small change - especially if they are stealing it from a big-name company - but for a small, independent game designer (maybe a one-man operation) that could really make a difference in whether or not they can afford their car payment or mortgage. It might even be a discouraging blow that leads to the one-man team to just give up and never design another game again.
So think about it this way - it's not faceless companies that people are stealing money from. It's individuals. It could be the graphics designer. It could be the Web designer. It could be your neighbor. It isn't sharing if you take something without permission. It's stealing. Simple as that.