They wouldn’t have the same problem that a human would have breathing ‘air’. The problem with ‘air’ is the all of the nitrogen in it that doesn’t dissolve in our blood. Breathing air at sea level (or a little above or below that pressure) is okay for humans, but if you breathe compressed air at very high pressure, then you also have high pressure undissolved nitrogen in your blood. That’s okay as long as you stay at the high pressure, but if you rise quickly, then the nitrogen gas expands too quickly, hence ‘the bends’.
Sea creatures who live their whole lives at high pressure obviously don’t breathe air, so they don’t have that problem.
Apparently this isn’t a problem for deep-diving whales, though, so I don’t know how they compensate.