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 atoms "trapped" inside the Earth from when it was formed, since it was 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.