I wouldn’t say it’s unethical, but we shouldn’t do it. Those species died out for a reason, and they likely will just die out again. If they don’t, they’ll probably drive other animals to extinction that would’ve otherwise been fine.
I mean, it depends. For (non-avian) dinosaurs and other species that died off in the various mass extinction events, they were built for drastically different environments and they couldn’t be expected to thrive outside of captivity anyway.
But, for a good chunk, I’d dare to say most, of the species from the Holocene era, the reason they died off was directly related to human activity. Whether it would be prudent to bring them back is a different issue, but I don’t see the ethical issue with bringing back a species like the Mammoth that humans probably killed off in the first place.