Why is it legal for someone to steal my GF?

If I steal from a store, I'll get caught and have to pay a fine, do community service, and/or go to jail.  Same if I steal from a neighbor.  But if someone steals my girlfriend, how's that legal?

Because she is not a piece of purchased property, and does not belong to you or anyone else. Unless you are married, there are no laws protecting your relationship.