Helium gas is filled in balloons because

Because of the Archimedes’ principle, a lifting gas is required for aerostats to create buoyancy. Its density is lower than that of air (about 1.29 kg/m³, 1.29 g/ L). Only certain lighter than air gases are suitable as lifting gases. Hydrogen and helium are the most commonly used lift gases. Although helium is twice as heavy as (diatomic) hydrogen, they are both so much lighter than air that this difference is inconsequential. Both provide about 9.8 N of lift (1 Newton is the force required to accelerate 1 kg at 1 m/sec²) per cubic meter of gas at STP. Helium is the second lightest gas. For that reason, it is an attractive gas for lifting as well. A major advantage is that this gas is noncombustible. Today helium is used instead of hydrogen, since it is inert so non-flammable which makes things a lot safer. Hydrogen can ignite very easily when mixed with the oxygen of the surrounding air.