According to this article, there is a large quantity of Helium in space (stars), but very little is accessible to us on Earth:
Helium is abundant in space, where it's produced as a product of the fusion reaction inside stars such as the sun. The naturally occurring helium on Earth, though, comes from a different sort of process.
This might sound silly, but I could not find information about why we have so few Helium "trapped" on (inside) Earth since it is abundant in space during the birth of the planet.
Note: I am mostly referring to Helium-4, as the shortage seems to be different depending on the isotope as explained here.