As someone who's worked in numerous parts of the firearms industry for 10 years now (for both sponsor and non-sponsor retailers), I'll try to explain a bit since this question comes up a lot-
Point 1:
When a US company makes a specific model, they'll assign it a part number or SKU. Generally, any change to the configuration results in a change to the SKU. This means changing a bunch of minute procedures and bits of their production process.
I'll use S&W as an example- most of S&W's semi auto handguns come with magazines over ten rounds, so when a specific configuration for a new market needs to be made with a 10 round mag instead of 14, as far as they're concerned it's a "new model" with a new SKU. If you cross-reference S&W's part numbers on their site, you'll see there are different numbers for 10 round guns and 10+ round guns of otherwise identical models.
This means extra work for S&W, especially when Canada is a very small market (fewer people than the state of California), so they're changing their production/shipping procedures to account for seemingly minute changes for a very small order of guns. That means the additional cost for any changes is applied over a small number of guns, making the end result more expensive.
Point 2:
"Why don't they just pin the mags here then??"
Because believe it or not, not just anyone can legally pin a magazine in Canada, it is a specific privilege issued on a business license (which most businesses don't have) and most manufacturers aren't willing to do it themselves (slows down production etc. as explained above). So if a Canadian company wants to pin the mags themselves, they must first import full capacity mags (which are prohibited devices, requiring extra licensing and rigamaroll, and thus extra COST), then unpack/pin/repack a few hundred of thousand mags, again adding cost and slowing down the process.
Point 3:
To combat the two issues above- many manufacturers just ship firearms to Canada without magazines.
That means that the company that imports the gun is now responsible for sourcing mags domestically (at generally higher cost), and repackaging guns with their own mags. In the case of fairy universal magazines such as AR or Glock-pattern mags, most Canadian importers will order a large quantity of one brand of Canada-compliant magazine and ship one along with each gun. Of course there's nothing stopping them from adding more of those mags, save for increasing cost, and burning through a generally limited supply of mags faster than necessary.
The three points above combined mean that on a manufacturing/distribution end, more often than not, it isn't worth the additional cost to the retailers/distributors to try to sell firearms with the exact same magazine offerings as their US counterparts. Some manufacturers are better than others (kudos specifically to Glock on that one), but by and large it just doesn't work for Canada.
Nobody is stealing your magazines.
And a further point to the price gripers- remember that licensing/import fees, exchange rates, freight, duties, etc. are all added into the cost of getting a firearm into Canada before it ever hits a dealer's shelf. Further to that, the small size of our market, coupled with the ridiculous amount of restrictions and additional cost added in running a firearms-sales business in Canada means that Canadian dealers aren't able to survive on the type of margins US companies do.
Yes, guns cost more in Canada than they do in the USA, and there are a ton of different reasons for that. Doesn't mean it doesn't suck, but unfortunately it's not going to change anytime soon. If you're incapable of comprehending why guns cost more, that's a you-problem.