There have been very few instances that I've found something so amazing in a digital only format that I felt the need to purchase it. I don't really consider anything that I don't possess a physical copy of a true part of my collection.
I've basically felt the same way, but I'm softening on that position as the medium changes. When possible and feasible I would always choose physical over digital as far as console/handheld games are concerned. On PC, I don't care as much, but I really only buy smaller games there anyway, not AAA games. At the end of the day, it's still just ones and zeros, weather they're on an EPROM, an optical disc, or a hard disk, I am finding that I care less and less as long as I can play it.