Mussels are attached to their substrate (rock, most the time) with byssus. Mussels eject byssus into crevices in the rock where the byssus bubbles up into foam, like that building foam you see sometimes. They then use their foot to shape the remaining byssus into a string that keeps them attached to their anchor. Byssus is made of keratin and other proteins that help creating a very sturdy structure.
Mussels have to do this because they usually live in an environment with a lot of wave action, and you need a strong anchor to stay in the same place.
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