Piracy in the modern world does not merely constitute "taking something" you do not own. In music, it doesn't matter if you own an original CD. If you rip that, then sell it for profit, it's piracy. The pirate, therefore is the one doing the pirating. He's the one making profit from music that may be his, but selling copies of it illegally.

When someone buys that, that someone is not really a pirate, but someone who buys pirated goods, and is therefore promoting piracy.

Theft, on the other hand, would be physically stealing a CD from someone. Or stealing someone else's melody or lyrics and claiming it as your own.