The ocean is freezing cold at the depths they swim at . They need all that blubber.
If you were to increase the size of a very fat persons skeleton and body proportionally to the size of a blue whale you would really see what a fat whale looks like
Because "Whale is the New Cow"
They dive to the depths, need the blubber, and are actually very thin for whales. Try living on krill for a few months and see how you weight does.