Because the mammals usually take a single breath at the surface, and then descend.
In contrast, SCUBA divers are usually breathing compressed air while at depth, from their self-contained underwater breathing apparatus.
These divers will have lungs full of gas at several atmospheres of pressure. This will diffuse into their blood and then into more solid parts of their body. When they ascend, the stored gas diffuses out, causing bubbles, and thus 'the bends'.
When free-diving, the lungs are full of air at one atmosphere of pressure, leading to very different gas absorption dynamics.
Humans who free-dive (i.e. no scuba gear, just hold your breath) "don't get the bends" despite descending to depths well past the recreational scuba levels.
The caveat is that mammals can and do get the bends from free-diving (humans included in the mammals group) if they make multiple dives to depth with insufficient surface intervals. Because when you get technical about it, the air in the lungs does get compressed at depth, leading to the same absorption/release process as SCUBA divers face. However, the volumes of gas are much less (one breath vs many), thus the total amount absorbed/released is much less.
Not that the other replies are wrong, but it's quite predictable from an evolutionary perspective that the physiology adapts for a range of different environments. Many animals can withstand a large range of temperature, so why not a range of pressure too, as long as it can benefit the animal?
To me, it's more fascinating that land animals like humans can survive at all at ~50x the highest pressure on land. Another fascinating remnant of our oceanic ancestry is the mammalian diving reflex[1].
Quick summary, they can but their lungs are structured to partially collapse to limit nitrogen exchange while continuing to exchange oxygen and carbon-dioxide. Sonar is suspected to cause whales to die of the bends.
Isn’t a key component of the bends breathing mixed gases while underwater?
Similar to free-diving humans, other mammals are much less susceptible to the bends than human scuba divers. Possibly their innate behavior minimizes the risks further — like slowing their ascent as they get close to the surface?
Its not only the mixture, its also the pressure at which those gases are coming into your bloodstream. If you breathe compressed air you get the bends. As freediver you don't have much in terms of volume of compressed air, same for animals of course.
