Check out this quote I found from 2002! Apparently Don said this at a concert in Atlanta's Chastain Theater in October of that year:
"Don Henley encourag[ed] everyone to 'Download all you want'. 'The record companies have been ripping artists off for years', he said. 'Go ahead. I’d rather lose money to you than them. I don't have a contract with you.'
The crowd roads with delight."
http://www.brushstroke.tv/week02_21.html
Dang! You go, Don!