And we can listen to it whenever we want. To go to the trouble of downloading everything and slap it all on a CD requires effort. Servers slow down, connections fail, and problems happen. If you have any good audio equipment, you'll see the quality isn't as good either. Think alternate versions etc.
CDs cost less to manufacture than tapes yet cost more.
I guarantee you that if they were to lose money making tapes, the manufacture of tapes would stop all together. This isn't even taking into account how inexpensive proaudio is getting, yet prices and promotion has stayed the same for the albums themselves. The record companies and some of the artists that they promote are scared. Their Godlike power is slipping away and they're trying to do everything they can to keep that power. This isn't about theft as much as it is about control.