For example, Spotify's TOS prohibits recording audio:

8. User Guidelines
Spotify respects intellectual property rights and expects you to do the same. This means, for example, that the following is not permitted: (a) Copying, reproducing, “ripping”, recording, or making available to the public any part of the Spotify Services or content delivered to you via the Spotify Services

There's a question asking exactly this: https://softwarerecs.stackexchange.com/questions/33978/program-to-download-music-from-spotify