David Hammen's answer explains why He is extracted from natural gas. But, it is not found only there. Helium exists just about everywhere on earth. You find it in volcanoes, in subseafloor hydrothermal vents and even just slowly leaking away from the ground in U and Th rich zones. As with all extraction of natural resources, it comes down to economics. How much is there, can we extract it, and how much does it cost to extract it?
Extracting the He from natural gas sources is easy: it's relatively concentrated, and we're drilling the thing anyway to get the gas out. Might as well get any by-products that are there, one of them being He. This is just like extracting indium from zinc ores, or extracting rhenium from molybdenum ores. We don't have indium mines or rhenium mines, they're extracted as by-products from other deposits.