Industry standard for digital games sales is ~30% (Source:
https://www.quora.com/Valve-company-What-percentage-does-Steam-keep-from-sales). Some estimates are closer to 40%, so let's take that and assume a take-home of ~60%.
This is a larger cut than Retail, but Retail includes other costs:
http://kotaku.com/5479698/what-your-60-really-buys. Rough estimate there is take home ranges from about 50%-60%.
Most likely, it's not really cheaper to operate in Retail vs. Steam. In fact, if you do all sales online you don't have to deal with supply chain and manufacturing which lets you run on a leaner staff which saves the company money as well. Integration with a platform like Steam is likely cheaper in the long run.
Only real question is whether they are missing out on money by not going retail. The answer is probably yes, but they've made it clear that the extra operational cost is not worth it to them; they're focused on the game.