Okay, so in the United States, we say some things differently.
In the U.S, we say "movie", and these are "films" (U.K. people and some producers use 'film') that are played at a "movie theater" (or, "the movies").
It's confusing if you've learned English (U.K.) because you hear "want to go see a film at the cinema?" A "theater" in the U.K. is a place where plays and other live performances are done, where as in the U.S., a theater is where movies are played.
To answer your question: it's really a matter of who you talk to. I'm an American born and raised, but I say "film at a cinema", and I might even slip in the accidental "chips" instead of "fries" or the "telly" instead of "TV". Point is, it's a matter of where you go. Some people say movies, others say movie theater, some say cinema. At the end of the day, in the US, they all mean the same thing.