What is the reason sea and land breezes form?

Sea breeze is formed usually at daytime. During the day, the land heats up quickly than the sea. Air above land heats up more than air above the sea. Sea breeze develops when cool air coming from the sea moves towards the land, replacing the warm air. This warm air expands and rises.
The land heats, particularly later in the day, while the sea stays relatively cool. As hot air rises over the land, cooler air from the adjacent sea moves in to replace it (in simplistic terms).