No element is easy to synthesize. Changing one element to another requires nuclear reactions, and nuclear reactions that aren’t very slow have mostly already happened.
When we harvest other elements, we’re not actually creating atoms of that element. We’re just taking them out of molecules in which those atoms already existed. For example, iron can be found as oxide minerals, with chemical formulas along the lines of Fe2O3 or FeO or the like (you know these particular minerals as “rust”). When we refine these compounds into pure iron, all we’re doing is separating the iron from the oxygen it’s bonded to.
But helium doesn’t naturally bond to anything. You have to really, REALLY try to get any sort of bond with helium at all under anything resembling normal Earth conditions, and even then the resulting compounds are wildly unstable (much too unstable to exist naturally). So all helium on Earth exists as just regular old free gaseous helium.
If helium were a heavy enough element, that wouldn’t be a problem. It’d hang around in the Earth’s atmosphere, and we could distill it out by cooling down air, like we can do with oxygen, nitrogen, argon, and other major components of the atmosphere. But helium is too light for the Earth’s gravity to hold onto it at the temperatures of Earth’s atmosphere, so any helium in Earth’s atmosphere quickly escapes into space. (If you’re wondering how this works: basically, the random jostlings of gas atoms against one another is likely, over the span of years, to kick a helium atom up to escape velocity.)
So the only place we can get helium is from underground, where it’s trapped and can’t mix with the atmosphere. Currently, we do this mostly from natural gas deposits, but those are rapidly running low, and we’re depleting the Earth’s supply of helium with them. (Helium is naturally produced during nuclear reactions, but only very slowly, so helium is functionally non-renewable on human timescales.)
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