I'm not sure it's as simple as that. One could always ask: "Why is it immoral to steal?" and the answer usually revolves around how stealing deprives the owner of something he had a legitimate claim to, etc. etc. That's how our moral intuitions have evolved over thousands of years.
The fact that this age-old intuition no longer seems to apply online is exactly why piracy creates a moral conundrum. You can't resolve the conundrum by fiat. Copyright infringement is a different crime from stealing, and rightly so, because piracy has different moral and economic implications than stealing has.