Social creatures
Dolphins have always made contacts with people and were always friendly with them. There is no other animal in the world that would have such desire to be with people and to help them.
And despite scientific theories, there is some kind of strong social connection between people and dolphins. And both dolphins and people feel this connection searching for the next contact.
There are a lot of Roman, Greek legends as well as stories of other ancient civilizations that tell us about dolphins that saved drowning people. The similar plot of these stories proves that events described in them really happened. But till nowadays most of them are considered to be only legends. After all people considered the legend about Troy to be only the fable until it was discovered by archaeologists.
Ancient people remembered and respected deeds of heroes, gods and animals. And they described their deeds in legends and myths. And there are no reasons to say that these stories are not true for sure.
There are so many stories told by Pliny about the boy who was riding the dolphin. During one of such travels, storm began and the boy died. Feeling guilty the dolphin also stranded and died. According to his texts there was also similar story with another boy whom dolphin loved so much that it stranded and died because it couldn't leave the boy.