A series of fantasy/urban fantasy novels I once read, The Magicians has the main characters at one point shape shift into whales and discover that whales have society which is just full of powerful wizards, but they don't interact with humanity or human wizards much because they're very busy jailing Cthulhu types.

EDIT: sorry, this is only tangentially related to your comment, but I love cetaceans and I was reminded of the whale wizards.