Because, quite simply, games consoles are designed to run, well, games. PC's have to have an operating system running at all times in the background, one which has to have, on demand, the capabilities to do a wide variety of tasks, such as word processing, Internet exploring etc. Loading a game does not make these features, which will require system resources in one way or another, go away. On a console, these tasks are not needed, so the console does not need to provide for them.
Another thing you might consider is that consoles can get away with poorer graphics, because of the lower quality of image one gets on a TV screen.
