Some of the most endangered moths & butterflies in the UK can only be legally handled/possessed by someone with a licence (which, I'd imagine, is granted to very few).
Also, some of our rarest lepidoptera only feed on particular foodplants (sometimes rare/localized themselves) and have very specific habitat/environmental requirements...often the reason why they've become scarce in the first place!
Lepidoptera can be tricky to rear (I started off with lepidoptera but became more interested in phasmids) as each life-stage (egg, larva, pupa, adult) has different requirements/needs - for some rare species, we don't even know
exactly what these requirements are! Which is why it is generally considered best to leave them in their habitat.
You could always try rearing common species first? There are lots of insect livestock suppliers out there.
How to help with moth conservation - Moths Count
Moth & butterfly recording/surveying is very important - many parts of the country are
appallingly under-surveyed when it comes to insects (most aspiring zoologists are more interested in tigers, dolphins or elephants

). At the same time, this makes it more exciting, as there is more to discover...potentially even new species!