If they say you aren't allowed to play the game anymore, they can block you from playing it.
Worse than that. If Steam notices there's an update for a game, it can disable the game completely until you update, even if you only want to play the game singleplayer or offline.
"Not owning" goes beyond them taking stuff away from you in the future. It means right now they can pull the rug out from under your feet by changing it any way they like after the point of purchase... crippling it, taking away features, injecting [more] ads, revising the EULA, etc.
Yeah, they can do this with streaming content, too, but the problem is far worse with games and applications.