There is no proof of this, just as there is no proof piracy has as big an impact on real world sales as often suggested. Downloading a game doesn't stop a legit customer from buying it like stealing from a retail shelf does, and downloading a game doesn't mean the company lost a sale - the reality is it's entirely plausible that most pirates wouldn't buy something if they couldn't download it.
As recently suggested by the industry (citation needed, cbf'd right now), in real terms, game rentals could possibly have a stronger "negative" effect on the gaming industry than piracy does. After all it effectively lets gamers play full games sharing the cost of the media itself between possibly thousands of people. Remember, a lost sale because someone rented a game instead of buying it and found it was crap is still a lost sale. Publishers and developers don't seem to factor in their product's quality when talking piracy so why do it when talking lost sales to rentals. A crap game that can be finished via rental? who cares, they lost a sale. Quality be damned.
It's a convenient excuse when games sell poorly. Nevermind a game like Sins of the Solar Empire sold well on PC with literally no anti piracy measures in place a all, it's always the invisible arm of piracy's fault when a PC game does poorly. Developers let themselves believe this far too easily.
The more plausible reason PC gaming has seen a decline in focus (not necessarily release numbers - I haven't seen stats to back this claim up yet) is because consoles are simply more profitable and it makes more sense to focus the majority of resources on the more profitable sector. PC gaming offers a more consumer oriented experience but the consumer has spoken - we like what makes it easier for companies to profit, so console it is. Like fast food and pop music and reality tv.