Yes, the sea has cucumbers! but they are not the ones we eat in our salads. 

Sea cucumbers (Isostichopus badionotus) are echinoderms, like starfish and sea urchins.  There are about 1,250 known species, and many of these animals are characterized by the shape of soft-bodied cucumbers.
Apart from their shape, in recent years, sea cucumbers have attracted attention for their properties in traditional medicine and as a food supplement.

A study conducted by researchers from the IPN's Center for Research and Advanced Studies in Yucatan, Mexico and collaborators found that these animals possess bioactive compounds with anti-inflammatory properties.
The animal study showed that sea cucumber from the Yucatan Peninsula exhibits potent anti-inflammatory activity in vivo and slightly enhanced the expression of anti-inflammatory or survival genes. 
Although these types of studies show us the benefits of oceanic fauna, there is still a whole ocean to explore and who knows what we may continue to find in the deep sea.