It's funny how basically almost everyone in this thread got this wrong and thinks this is because of achievements.
Guess what: WRONG. It's not about achievements (PC Games still have Trainers that allows you to hack achievement-enabled games). It's about console-based DRM.
The three big consoles of this generation (Wii, PS3, 360) all have DRM-systems in place that are based on - amongst other things - public key crypto. This means that all games you buy for these on a disc are basically encrypted on the disc, and only the console hardware is capable of encrypting AND decrypting it (until the PS3 got hacked). This makes it complicated beyond simply attaching a cheat-device. You have to break the DRM of the console to use cheats, and this is exactly what happened with the PS3. The PS3 saw it's share of cheats after its secrets went out.
The DRM on handheld consoles are much weaker (in some cases, close to non-existant) and therefore, creating cheat devices is a lot easier.