The value proposition is just heavily skewed towards video games. Some games cost less than a single visit to the cinema and provide heaps more entertainment. Sure, it's different entertainment and the social aspect of going to the cinema is a factor too, but I'm not much into cinemas myself, so I know where my money goes.
The social aspect of going to watch a movie in a dark room on a screen while everyone around me loudly "whispers" to each other and checks their phones. Not to mention the screen that is lower quality than my television at home.
Add into it that a game can offer much of the same as a movie and given that it's an interactive experience, you're not just cheering on the hero, you are the hero.
And the social experience was risky before, but with smartphones being so prevalent, it has skewed the chances heavily towards a negative experience.