It's actually really hurtful sometimes. As an example,
The white lion film in Africa was supposed to bring in money to an organization which was taking care of animals by donations given by other people. The center was on an extremely tight budget, they'd have to give their females birth control because they couldn't afford to care for new babies and such. The white lion who the film was based on was too old to be released anywhere and didn't have a pride of his own, so he was to be cared for as well.
But because people in South Africa illegally downloaded the film and people also sold pirated versions of the film, the center never received enough revenue from ticket sales to do anything and their animals continue to suffer.
Illegally downloading something is the same as you providing a service for someone, and they just closing a door on your face without paying you. It's basically not a good thing to do.