From Nookipedia, the Animal Crossing wiki
The Sea Butterfly (クリオネ, Kurione) is a species of mollusk that live in the sea. They can be caught in the during winter and are the only winter fish that cast such a small shadow in the sea and so, can be identified easily.
Donating to the museum
In Wild World
"The sea butterfly is in the same family as snails, as you may or may not know. You might think it's strange to have a snail without a shell, eh wot? Indeed, well, slugs are also snails without shells! I must admit, being lumped in with slugs probably angers the sea butterfly.
The Sea Butterfly is placed in the large ocean tank in the aquatic display in the back room.
In City Folk
It occupies a large glass tube in the lower-right corner of the fish exhibition, with other small oceanic fish.
In New Leaf
Upon donation, the information board outside the tank that houses the Sea Butterfly says:
"Sea butterflies go with the flow, as they'll drift in cold winter waters along the ice floes. They are called "ice-floe angels" because of the mysterious way they swim with their winglike arms. Their heads will open up when they make an attempt to catch their helpless prey. Once its head is opened, it grabs its prey with six special feelers called "buccal cones". The only place you'll find both cold-water and tropical sea butterflies swimming together is in this game."
The sea butterfly that appears in the series is specifically the Clione limacina, also known as the naked sea butterfly, sea angel, and common clione. They can be found in the cold waters of the Arctic Ocean, Antarctic Ocean and in the North Atlantic; mirrored, in-game, by their appearance during the winter months. They can grow up to 5 centimeters in length.