Why would a species that lived in tunnels deep under the sea, where there was no light, and never had been any light, react to the presence of light from an explorer?
Because it can still feel temperature differences.
Light is energy. Depositing energy on the skin (or deeper in the body, if the skin is transparent, as it often is for deep sea creatures that live in the dark) warms it up. The creature feels that as heat, and can tell that part of it is being warmed and other parts aren't.
Plausibly, it might even hurt. After all, they have no reason to have developed any resistance having their biomolecules damaged by exposure to visible-spectrum light.
UV / Sunburn
New Zealand has quite high levels of UV. Europeans who come here in summer often burn themselves horribly. The actual UV is only 50% % higher in intensity, IIRC, not orders of magnitude.
Some creature with skin that's never been exposed to UV, has no melanin, and no mechanism for repairing damage will take horrible damage. If they can feel the damage, they'll react. Intelligent creatures may be able to learn the warning signs after an exposure or two even if they don't notice the first time.
Your species evolved from one that could see. Their very distant ancestors lived in the light, and their nearer ancestors had huge eyes to see tiny glowing worms and molds that attracted bugs to spread spores.
So while the species never saw the light, and their eyes might barely function, there is still a vestigial capacity. There might be no understanding, but there is a reaction.
When you say there is no light, do you mean no light from the sky, or no light from any source? Some creatures can produce their own light by chemiluminescence. Light is an important means of communication for some deep sea animals even though they may never see any light from the sun. They would probably be blinded by an explorer's light at close range. At a distance, they might interpret it as a signal of a food source, predator, intrusion in their territory, or whatever information they are used to obtaining from light signals.
Being sensitive to light is not a big deal, really.
The visible light is special because its photons have energies comparable to the energies of the common types of chemical bonds.
Just like any exposed electronic element is sensitive to light (sometimes unexpectedly), most neurons should be sensitive to light in one way or another.
Creatures living in total darkness are highly likely to be a great deal transparent. Even if their ancestors were long ago exposed to light, their pigments would be naturally selected away. Pigments have biochemical cost and one can save precious energy by not making them (and the energy is likely to be precious in a lightless environment).
One may just feel some common excitation, just like when using regulated substances. Maybe different wavelengths impose different effects.
And, high intensity light will be poisonous.
Let's turn that question around: Why would a (ancient to pre-1900) human that has never been exposed to microwave radiation react to intense microwave radiation, e.g. being put into a microwave oven?
Humans have no dedicated receptors, no "eyes" for microwaves. But they would react to being slowly or not so slowly cooked, the intense radiation can raise the local temperature, cause burns, destroy cells ...
On the other hand, you'd not react to the microwave of your wifi, phone, bluetooth ... despite them using the very same 2.4 GHz ISM band.
What would most likely happen in a world where there is no light, ever, is the detection of light by indirect means. The same way that humans do not have any sensory equipment to feel "wet" or "dry", but still can detect it ... wet clothing feels different from dry clothing (and is heavier), a wet finger (usually) has a cooling effectin air --- the same mechanism is used to detect the direction of a weak wind using a wet finger stuck up into the air.
The following senses make sense in a completely dark underwater world:
- pressure and pressure variations (the side line organ of fish)
- heat variations of water (skin)
- passive sonar/hearing (ears)
- active sonar (dolphins --- they actually can use 2 independent beams simultaneously)
- electric current detection (European Eel)
- passive electric field reception (nerves do cause electric field changes ... and it is a pretty common sense for fish, 16% of fish species have it)
- active electro-location (electric field production and reception, e.g. in "weakly electric fish")
- capacitance detection, resistance detection (weakly electric fish like Eigenmannia)
- chemoreceptance ("smelling"). (Piranhas are well known to detect a drop of blood in crazy amounts of water, sharks have quite the nose ... some catfish are a full-body taste system)
- magnetoreceptance (e.g. Japanese eel)
- probably a good number I have not even thought about ...
It is obvious that an electrical light needs an electrical current and thus produces a magnetic field. There is also a electric potential field, even if electricity does not flow, with a battery, or a power cable (unless all wires are detached to what the ground is at he deep end).
Unless the lamp is completely fixed, does not interact with or move though the water, and also creates no water currents by, say, being warm and thus making the water be a bit warmer and rise ... all of these could be detected. And they can easily be interpreted by "reacting to the light" even when they are reacting to a proxy change in environment.
How bright the light is and for how long the light is set on the creature. From what ive read from this study ( https://montereybay.noaa.gov/research/techreports/trkochevar1998.html#:~:text=The%20few%20studies%20published%20addressing%20effects%20of%20light,effect%2C%20to%20temporary%20%28recoverable%29%20effects%2C%20to%20permanent%20blindness. ) if the light is kept low and for a short amount of time the creature will be fine, but if the light is very intense it will cause damage to the creature.
EDIT: I realize that the question was not IF they would react but WHY they would react. With that in mind, i can think of a few, but the main one is that they still have eyes. Not good, or maybe not even functional eyes, but they have been left over from a time where this creature used to live higher up and experience light. While their eyes may or may not work/be good, the light still could hurt their eyes.