A submarine is filled mostly with air.
A whale is filled mostly with water.
Aside from the air in the lungs, whales are mostly filled with incompressible stuff, and as the pressure outside rises, there’s very little problem letting the pressure inside the whale also rise. The lungs are basically collapsed in an orderly fashion, so they aren’t a problem either.
Having internal pressure equal to external pressure means that the whale’s insides are pushing just as hard to get out of the whale’s skin as the water is pressing to get inside, so the forces are balanced and the skin feels no great force.
By contrast, a submarine has a rigid surface which attempts to keep the interior at roughly the same pressure as the atmosphere above the water. This means that the water outside is pushing in much much harder than the air inside.
Why don’t we build submarines that increase the air pressure inside to match the water pressure outside?
The unhelpful answer is that we do sometimes. Temporary underwater structures called *caissons* erected to build bridges are regularly pressurized to 3+ atmospheres, reducing the strength needed for the walls.
The US has an undewater research facility called Aquarius that’s kept at about 2.6 atmospheres internally.
Workers on oil rigs and some other very deep applications go to 30+ atmospheres!
The main problem with this is that it’s very dangerous to change pressure quickly for humans. Deep water workers must spend hours or days acclimating as they travel in each direction. This isn’t ideal for most military operations (where you may need to change depth very rapidly), and is impractical for small, mobile units; you generally have to build a small habitat for divers to live in for several days while they work at depth.
There’s also some health effects of humans living at very high pressures, but it’s mostly that we need much more time to transition.
Whales have a number of adaptations that let them adjust to the changing pressures very quickly, most notably that they don’t hold their breathe when they dive, instead emptying their lungs and relying purely on oxygen already in their blood. This is less to do with full lungs being a sack of air to compress, and more to do with nitrogen in their lung-air getting forced into their blood (this ultimately causes the Bends, which can be very painful or even lethal and is one of the main reasons humans need to change pressure slowly).
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