Why don't they give their money to Ted Cruz who would have even fewer regulations?

I'm not sure if this is a serious question, but there are a lot of reasons. It could be a form of hedging, it could be because Ted Cruz is already sufficiently pro-oil, it could be because Clinton has a primary candidate they really don't like, it could be that they're just honestly donating to a candidate they know/believe is against the best interest of the industry they work in. Unfortunately Trump explains it best. “When they call, I give. And you know what, when I need something from them two years later, three years later, I call them. They are there for me.”

Rich people don't always fund campaigns for their own self-interests. Often they'll fight for a cause they truly believe in, for example, Delta lobbies for awareness against human trafficking. Disney and the Walking dead successfully lobbied to stop anti-gay bills passed by Georgia. Bill Gates put up a $1million dollars to pass stricter gun regulations in Washington State and the Koch brothers have put up seven-figures to reform the criminal justice system. Even Coca-Cola has raised $50 million to save polar bears and allowed MLK to speak in Atlanta after the city refused to allow an integrated audience. A lot of lobbying has nothing to do with the companies self-interest, but just like you and me, these people have a vision for America they want to see happen so they donate to the candidate who will bring them that America. Which is why 64% of millionaires went against their own interest supporting higher taxes on themselves.

I certainly wouldn't ever disagree with any of that. But it's impossible to tell which money does or doesn't come from a self interest group with interests contrary the public. Presumably a huge portion of any money that's donated is because the person giving the donation thought it was in their self interest. That's could be because the candidate is already well suited for their interests and they just want to help that candidate get elected or because they expect to influence that candidate doesn't particularly matter in the case of fossil fuels. Either way there's some reason to believe to believe a candidate receiving a large amount of money from people working in the fossil fuel industry isn't the best candidate if you have strong concerns about climate change.