Because there is plenty of things that you can find for free online, downloading copyrighted media, ie TV, music, games, etc is illegal. For me it is akin to either stealing software or buying software from a store, and then downloading it only to return claiming it doesn't work, and getting your money back. I believe that people who created this media should be recognized, and paid for their hard work. And in a nutshell stealing is stealing whether it's online or off online.
Music and videos can easily be downloaded with tools like clipconverter.Cc. If it's on YouTube, it can be downloaded. The way i see it is, would you buy from the play store/iTunes for $10 or free from another site. Anyone will be able to get free music and videos legal or not.
In the contemporary internet there are plenty of ways to download media legally. In these cases the creators of these works agree to this. They often allow their work to be downloaded legally so that others enjoy their work or that their work gains more recognition. In turn that can eventually lead to greater profits to them, instead of just locking away their content and waiting for someone to take a chance with it.