Because they are adapted to life in the deep ocean.
The pressure is not a problem. Water is not compressible. If you filled a ballon with water at the surface and sank it to 5000′ deep, it wouldn’t change. It cannot be squeezed to a smaller size because of the pressure. Solids are also not compressible. Many deep sea organisms are made of only water and solids.
Gasses are a problem at depth, but only with a change in depth. Did you ever wonder why diving masks cover both the eyes and nose? It is not to keep water out of your nose. and Many professional swimmers wear only goggles. When you wear a mask or goggles you are putting air between your eyes and the water because your eyes evolved to see in air. As you go deeper under water, the air gets compressed. As the air gets compressed your face feels what divers call “squeeze”. To your body this would be the same as creating a partial vacuum over your eyes, which not good for your eyes. This is counterd by exhaling through your nose into the mask. If you were to dive with only goggles you could damage your eyes. Divers can also feel squeeze in their ears and sinuses. Our lungs are also susceptible to damage if you hold your breath while ascending. Now the gas expands and if you hold your breath, you can damage your lungs and die.
Deep sea fishes are one of the few deep sea animals that have air spaces, notably the swim bladder. At depth, this is not a problem, but if brought rapidly to the surface the expanding swim bladder can push their internal organs out through their mouth. If brought up slowly enough, many deep sea fishes can be brought to the surface alive. The chambered nautilus has air spaces in its shell, but it has an opening in each chamber wall and can adjust the amount of air in the chambers to control its buoyancy.
The deep sea is cold, but many animals are adapted to cold. Keeping them cold enough is the other difficulty with keeping nautilus and deep sea fish in an aquarium.
The deep sea is dark. Many deep sea animals have large eyes or use other senses to navigate. Sound travels well through water, as do chemicals (scent or taste depending on the receptor). Many deep sea animals produce their own light which can be used to signal conspecifics or as a weapon. A sudden flash of light can startle a predator and some deep sea squids emit a cloud of bioluminescent ink when startled. Some angler fish use a bioluminescent lure to attract prey items.
With no light, there is no photosynthesis in the deep sea, so food can be scarce and hard to find. Aside from the rare hydrothermal vents, the only food is other organisms or whatever drifts down from the surface. If you watch videos taken in the deep ocean, you may notice a lot of white particles in the water. This is actually called marine snow, and it is made up of debris sinking slowly from the surface. Sea cucumbers and worms sift through the mud to find edible bits. Larger fish and even whales sink to the sea floor and provide a banquet for deep sea organisms. A whale may take years to completely consume, and there are organisms that even eat the bones of dead whales.
In the early days of oceanography it was thought that little or nothing lived in the deepest parts of the ocean. With the use of submersibles we now know many organisms are adapted to life in the deep sea. We have discovered may unusual jellyfish and other very fragile animals that disintegrate if we try to collect them. There are doubtless many bizarre and amazing creatures waiting to be discovered in the deepest parts of the oceans.