Helium does not exist as a molecule.
Helium is the second most abundant element in the universe, but it’s not always found in its gaseous form. Helium is so light that it can escape Earth’s atmosphere and float into space. On top of that, helium molecules are so small that they escape Earth’s gravity even more easily than helium atoms. The molecules are also so tiny that they are constantly colliding with each other and bouncing off into space.
The only way to create a helium molecule on Earth is to put a lot of energy into it. In fact, you would need more energy than is released by burning gasoline to produce just one helium molecule. As for why this process doesn’t happen naturally on Earth, there isn’t enough energy around for it to happen spontaneously.