First of all, we'd better look at how balloons are released. When helium filled balloons are handed out at public events, they usually come with a piece of string or ribbon attached. The attachment is either tied into the knot, or secured with a plastic disk. Either way, if these balloons are accidentally (or purposely) released, the attachment becomes litter and that's bad. I've only spotted a few balloons in the amazing amount of litter I see surfing here in Sydney, but they all had ribbons attached.
The other argument is that helium balloons are claimed to reach a height of anywhere up to ten kilometres before shattering into tiny little pieces. These pieces, it is said, would be too small to pose a threat to animals. Now the shattering effect sounds reasonable for two reasons. One is that atmospheric pressure is dramatically reduced at high altitudes, so a helium balloon expands as it rises and eventually explodes.