In some cases, yes, you could just rent or borrow. But where are you going to rent a cd? I've never seen such a place.
For me, the only stuff I ever download is the stuff that you can't buy on a cd or be obtained otherwise. Mostly rare or uncommon music, music that hasn't been released onto a cd, etc. Sometimes if I hear a song I like on the radio i'll download a couple other songs to make sure the cd isn't going to be a waste of my money when I buy it as well.
Not everybody uses these resources the same as I do, some people have never bought a cd in the last 10 years and meanwhile have downloaded thousands of tracks illegally.