Once displayed on a user's computer, the data is in fact transferred, no matter how much you prevent but technically its downloadable.
One way could be to make it harder to find the actual file and prevent it using .htaccess
RewriteEngine on
RewriteCond %{HTTP_REFERER} !^http://(www\.)?domain.com/ [NC]
RewriteCond %{HTTP_REFERER} !^http://(www\.)?domain.com.*$ [NC]
RewriteRule \.(mp4|avi)$ - [F]
This stops from going to domain.com/videos/myVid.mp4 and then saving it from there.
One other way would be to implement DRMm on your server (not simple). DRM acts by providing you a "ticket" while playing. if you save the video and try to play it later (or elsewhere) the ticket is requested again. In case the server is not allowing it (or not reachable) the video does not play.
