It doesn't matter if it's a CD, a Film, or manual with the instructions to build a spaceship. If you copy it, the original owner doesn't lose anything. If you don't copy it, the only one missing something (the experience) is YOU.
Enjoy!
Of course, if you happen to have some extra money for donations to creators, please do so. If you don't have that, try contributing with a review somewhere or recommending the content, spread the word. Piracy was shown to drive businesses in several occasions by independent and biased corps (trying to show the opposite).
Concert would be something like theft of service. Lights, etc, aren't free.
Copying something is nothing more than copyright infringement, period.
Calling it stealing is disingenuous, at best.
"Stealing" requires a tangible item which would otherwise be sold.
Take someone to court and charge them with theft for copying a CD, and see how fast the judge throws it out (hint: it would never make it before a judge).