im not a scientist im a mere normal dude, so if i may explain it in simple terms?
and my answer would be because helium is lighter than air... much lighter about 10x lighter
Helium gas 0.00018
that is the molecule density ....
take for an example a balloon filled with air, and submerged under water... the pressure from the density of the water will pop the ballon right to the surface... or in other terms will make the balloon float.
same effect applies to air and helium filled balloons.
and the rubber that the balloon is made of (which if expanded or filled with any gas is a about 10 microns thick that is about the thickness of a human hair... the weight on that would be very small so it won't affect much the helium gas inside and if it does all you have to do is add more helium gas) will amount just a bit under the atmospheric pressure so it will still rise up.
i know it's a oversimplification but that's how i understand it.
another cool similar effect is the temperature difference, for example hot air vs cold air a effect put to use in hot air balloons... the hot air has a much smaller density than the cold/normal air, so it pushes the ballon up taking you on a trip across the land xD and if you want to go down all you have to do is wait for the air in the balloon to cool down, and down you go.
Edited: someone also mentioned surface tension and that would be as for example all around the ballon the atmospheric pressure exerted a force right? but the force of atmospheric pressure is weaker at the top of balloon and stronger at the bottom, because the atmosphere get weaker as you go towards space imagine it being a faded out color towards space.
that structure allows for a irregular pressure around the ballon pushing the ballon upwards on top of the force of the helium inside.
the same thing happens in water as i said, the deeper you go in water the stronger the pressure will push your balloon to top.
this entire effect and behavior of the rising balloon is a bundle of different forces working together, but sure ... we can say helium is lighter than air lol... wouldn't be incorrect would just be missing a lot of information.
hope it helped in any way .. :) im a simpleton i like things to be explained simple ...