In days of physical media, one sold disc meant one person could play that copy of the game. Now if you let your friends download a copy of the game you bought, you can all be playing it at once but the developer hasn't earnt the money that represents that. Esentially you're ripping off the people who made the game you're enjoying.
Piracy is a lot more complicated than just that and there's a lot of misunderstanding and fear-mongering muddying the debate, but from a legal standpoint, you own the game data you have purchased; you do not have the right to distribute it in any way.
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