The extent to which pirates financially harm the gaming industry is debatable -- it's not as high as some publishers claim, but it's certainly not zero impact either -- but they do harm the PC games industry by perception. There are few exclusive PC developers these days because of the perception that you can't make a decent profit selling exclusively PC games because of piracy. There's also cases like Iron Lore Studios, creators of Titan Quest, who released their game with copy protection checks that would dump the game to desktop if the check failed.
Industry claims and reality are somewhat different unfortunately. Though yes, piracy does harm the industry even if in no other way than ensuring a free copy is available. It's like a burglar who goes around opening people's windows and not taking anything - he himself might not be doing anything harmful, but he's leaving the way open for people who will. How much damage is always going to be unquantifiable.
A lot of the industry statements regarding piracy tend to be more of an excuse than bearing any resemblance to reality. The PC in fact has more exclusive developers than any other format once you take into account the indies and smaller studios, if they can turn a profit then why can't the bigger studios? In fact many can - note EA regularly returns record profits, and record figures for numbers of pirated games, even on PC exclusive titles like the Sims and Spore. Part of it is simple misdirection; the publisher would like to lock the PC down in the same way as a console so they can control things like DLC, microtransactions and other profit maximising methods, but saying "we're removing modding because we don't want it to compete with our own releases" won't win many friends, while "We can't implement modding due to the stringent DRM we had to implement against pirates" at least sounds justifiable. The other part is simple denial - when a developer or publisher has confidence in a game which doesn't sell, they're more likely to blame external factors. It's simple human nature, when you've spent five years working on a game you believe in and then see it tank at retail it's only natural to blame external factors rather than find fault with your baby.
As for Iron Lore, before accepting their claim piracy ruined the studio it should be noted people were saying well before the actual release of Titan Quest they were being a little too optimistic with their expected sales. I'm sure the negative word of mouth and bad reviews did them no favours, but nor did banking everything on a game which was fairly typical for it's genre, and in a genre which was already overcrowded.
I don't support piracy, nor is this an attempt to justify it (and no, I've no pirated software on my PC funnily enough, but then I can afford to pay for pretty much any game that takes my fancy too), but I am sick of seeing it used as an excuse for foisting ridiculous restrictions and plain old bad customer service on gamers.