The density of water is so much higher than that of air (if you are comparing subsea potential energy storage with compressed air storage onshore). And there is a lot of unused space at the bottom of the sea.
You are aware, are you not, that there is 3x as much sea floor as land?
And raising the sea level would take more air than has ever been breathed by the entire taxon of primates. You would never store more air than needed for a day or two of power generation.