It's not that it has to be on a physical CD, there is something else to it. It's the same with movies, if I rent it from the video shop then I have a time limit on when I have to watch it, if I buy it I have to watch it because I paid money for it. If I download it it will just sit on my hard drive as I have no motivation to watch it.
With music though it is even worse, as I have so much that I have paid for, free music just doesn't get the number of listens as the music I bought. The other week I downloaded some stuff of Ektoplasm and I haven't even unzipped it yet