They're not really the same thing but you use transformation for gene therapy.
So like, gene therapy is where you transform/transfect a cell such that it expresses the normal form of a defective gene, it's a therapeutic mechanism to relieve a genetic defect.
Transforming cells or creating transgenic organisms has far wider application, especially in research. For instance you could create transgenic mice or transform a bacterium solely so you could experiment on them. But that's not really gene therapy - you're just creating a model to work with, creating a system through which to express a protein or test a biochemical hypothesis etc. There are a wide variety of applications - transformation just means you're adding a new gene (or genes) to a cell, not that the gene is going to be used for therapeutic purposes.