Can't they just, ah, swim back to the ocean?

Holding their breaths for how many tens/hundreds of miles?

No... whales are mammals genius, they need oxygen to survive. No one really know how long a whale can hold its breath, but it is estimated only about 90 minutes, and not more than 2 hours. That isn't enough time for the whales to swim the distance necessary to get to unfrozen surface again. Moreover, they had a calf with them, which isn't developed enough to stay underwater as long as its mother. If the whales tried to swim under the ice until they are able to resurface, they would suffocate, drown, and die.

I'm assuming you haven't seen the movie which makes it weird to ask a question about it. But you see in the movie that the ice actually goes down to the sea floor blocking them from the ocean.