Mcw and Rory, you're both 100% correct as far as exploring the ocean. But here's the problem and possibly the reason WHY (what I've heard at least) we're not looking for new animals under the sea.
Water pressure.
The water pressure underneath the sea is so great that it could crush a machine to the size of a marble if it wishes. Not exactly fit conditions for researching. I know that they are in the works of making something durable enough to withstand water pressure, but as of right now..it's come up on empty.