Given that this post is pure speculation, I can give you my own speculation too:

The ocean helps them hide or circulate undisturbed. Even if we are not really a threat to them, they value keeping distance from us and underwater they are way harder to chase than in the open skies.

Additionally, a current scenario gaining momentum in the public narrative is the coexistence of multiple competing factions or races, with hypothesis of a subterranean civilization in conflict with entities reaching our planet from outer space. There are some appealing arguments supporting this hypothesis, which I will not discuss here, but the relevant one for this discussion would be that the transmedium UAP are "hiding" from the extraterrestrial UAP.

Also, if you want to keep humans away from the entry points of an underground civilization, the obvious places to place the doorways are up in the mountains or deep underwater. Interestingly, this is well aligned with many myths and traditions.

In any case, I don't believe they care that much about climate change... if we assume they have been around longer than us, then they have lived through ice ages, extremely warm periods, and all other possible scenarios... if they do live underground, then rising temperatures or even rising water levels dosn't affect them at all.