and they are used to that environment and if they take them to the sea they die
Look what happens when you release humans into the world. They can't adapt.
Well, money. That would be the main answer to your question. The second answer would be that we do learn a lot by having the animals in captivity and studying them up close daily. And also another thing to think about is how many people are inspired by Sea World and other places like it to go into marine based fields of study and careers. But yeah, probably money. And as VT says, if you were to release them back into the wild, they wouldnt know how to survive anymore.
Because then they couldn't make money off of them.
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