The whole point of Helm's Deep is the way Gondor and everybody else except the Fellowship basically ignores Rohan in its time of need, which Rohan then moves past to save the day in Minas Tirith. The Elves have no affinity whatsoever with Rohan, and it's not as if they could just have swung by there on their way to Gondor, either.

They would have made more sense in Gondor, or with a more prominent role in Aragorn's army when he goes to attack the Black Gate.