I think, in very simple and plain terms that although you're not stealing a physical object, you are stealing the potential worth of the file to the "rightful owner". For example, if a music file is usually sold for 75p and you take it for free, the rightful owner of the file (which is probably the artist, his agent, the publisher and a bunch of resellers, etc.) will not get 75p. Effectively, you've stolen 75p's worth of stuff from them, even though there's no physical object.
EDIT: @awfullyjohn suggests that the worth attributed to an individual file (i.e. 75p, in my example above) may not reflect its true value. However, if you take an example of a music artist who only sells his (or her) music via an online download; regardless of the price that's set for a particular music track, we can assume that each track must have some worth and to take the track without leaving any compensation for doing so would be stealing.
In essence, this is even more clear than the question of whether stealing someone's idea (Intellectual Property) is really stealing, because there's an actual price given to the music file, whereas it's often impossible to determine the true worth of an idea. However, the US patent office issues hundreds of thousands of patents per year, which business (such as Apple) rely on, heavily.
To put it in slightly different terms, you might have a bank account with £50,000 in it. However, you never actually see £50,000 because it's actually just numbers in a computer somewhere. If someone stole £25,000 from your account, they wouldn't actually be stealing a physical object, but I expect you'd be pretty upset. The context is slightly different, but the concept is the same. Stealing doesn't have to apply to a physical object.
Finally, I'm not a contract lawyer, but I believe the concept of stealing in law might involve the absence of a contract - please correct me if I'm wrong. Surely the lack of authorisation would void any contract you might have (e.g. with the supplier of the illegal downloads).
Regardless of the above points, I'm afraid unauthorised downloading of music is regarded as stealing.
The only exception I can think of is if you were to interpret the use of the word "unauthorised" in your question in a different way. For example, if you had not been authorised to use your computer at work for downloading music, but you had paid for the music itself, this wouldn't be stealing, it would just be against company policy.