If you put helium in a balloon and let go of the balloon, the balloon rises until it pops. When it pops, the helium that escapes has no reason to stop -- it just keeps going and leaks out into space.

Therefore, in the atmosphere there is very little helium at any given time. The helium that is there comes from alpha particles emitted by radioactive decay. In places that have a lot of uranium ore, natural gas tends to contain high concentrations of helium (up to 7 percent). This makes sense, since the decay of uranium emits lots of alpha particles and a natural gas pocket tends to be a sealed container underground. Helium is cryogenically distilled out of natural gas to produce the helium we put in balloons.