That's because on PC you simply extract a few files to your directory and GTA 4 also made seperate servers for people who have modded files.
But on xbox360/ps3 you have to do all kinds of tricks to make cheats work, bootleg copy with mods and shit like that. So you have to get an illegal 2nd version of the game. Also, it's not really fair having a modded game while others don't.
Oh and to get that bootleg copy working you also have to mod your xbox360/ps3 which is also illegal (and you can say goodbye to your warranty). That's why