Why are there no marine birds?
Apart from one isolated group of birds in Australia (i.e., mound nesters found in Australia that use external heat for incubation - see link), all birds incubate their eggs (see link). All species that returned from land to sea have retained their reproductive cycle (marine mammals still give live birth and suckle their young) and still rely on air for oxygen intake. Extrapolating this mammalian evolution to birds would result in a creature that returns to sea, with all ties to land cut off, but that still has to incubate their eggs under water. As they would still rely on air, this is not very feasible as they would need to go up often to breath. This would leave the eggs vulnerable to predation. Even worse, it would leave the eggs at the mercy of a relatively cold ocean cooling them down quickly. Incubation means that the eggs are pretty much kept at body temperature which is difficult in the sea regardless of breathing parents. In all, while there may be certain benefits of underwater life for birds, it will require some drastic evolutionary changes in terms of the reproductive cycle. A more parsimonious way of colonizing the sea is to go back to land once and a while to lay eggs, incubate them, and raise the young until they are sea-worthy, like penguins do as @MattDMo mentioned.