These machines contain system boards, processors, ram, hard drives, and also video cards. There is one major difference that would make it very unlikely for a console to be infected with any type of virus, and that is the OS (operating system). It would be very difficult to create a virus that would be able to work in gaming consoles OS. It isn't impossible, but it is EXTREMELY unlikely and nobody has ever done anything lik this before.
Even if there was a virus created to infect a system like Microsoft's Xbox 360, it would be almost impossible to spread as Xbox Lives network would detect it and prevent any way of spreading it.
The other factor is it would be a waste of time for someone to create a virus that could only be spread via usb sticks for gaming consoles, it just would not be worthy.