It's because dynamic lighting is very computationally expensive and the last gen consoles didn't really have the kind of hardware capable of doing this well, so it wasn't built into a lot of games, mainly due to the prevalence of lowest common denominator development.
Games which were developed on the PC only or saw a lot of specific love for the PC versions to show case the graphics are the games that typically get this kind of effect, as posted above Hard Reset has a lot of dynamic lighting in game on a lot of the weapon projectiles, enemies and in the environment. The STALKER series has good use of dynamic lights, as does Metro 2033 and Last Light, both were heavily improved PC versions of the console counterpart.