When you buy a game on steam, you aren't actually buying it.
You are paying for a license that allows you to download and play that game, and steam can take that license away at any second and not give you your money back.
Pretty much.
Except for gog.com. On there you actually own the games you buy and can either play it through the launcher, or download an offline installer for the games you buy. (I have been using gog for a day now and it's so much better but sadly has less games)