Because we don't have spaceships to go out into the universe to collect it, so all we have is what has been trapped in deposits underground.
and a lot of it has been wasted on stupid shit like party balloons, and the overwhelming majority of the population does not understand how critically important helium is to manufacturing and medicine.
Given the type of people that we are targeting here I think that helium blow-up dolls are are a bit of a waste, especially considering the scale that we would need to perform this on to actually make it somewhat believable. Better would be to use hydrogen, its soo much cheaper than helium, has better lift, and is not a limited resource. Along with that a custom order of human shaped and roughly human colored (with painted on clothes patterns) balloons would work better. Likely a lot cheaper if done at larger scales, blow up dolls are made of tougher material than your average balloon. This would also allow for the pursuit of more sustainable materials given that we are just sort of releasing this stuff into the sky.
There is also a matter of making it realistic. If we are limiting to maybe one city then its best to create some devices that automatically release them on timed schedules. load these up with a handful of people balloons each and let them release with increasing frequency throughout the day. Should be a bit more convincing and gets a bigger effect. For cleanup we already filled these guys with hydrogen, so why not just light them up. might make for a good effect and leave less waste to be examined, making it more difficult to prove that this is not a rapture event.
That bottom left picture is from the TV show "Six Feet Under." In the scene the helium filled blowup dolls get loos from the net holding them down. A woman sees the dolls flying by and assumes the rapture is happening. She runs out into the street yelling, "Take me Jesus!" And then gets hit by a car and dies.