Some are. In fact, most JRPGs are set in the future or in some techno-punk realm outside of any conventional historical setting. FFVII and FFVIII took place in a land with heaps of technology - cars, airplanes, guns, missiles, etc. In fact, the last PURELY fantasy FF game was IX, although XII was mostly fantasy with a bit of steam punk. Persona and Devil Summoner take place in Modern day Japan.
As for western RPGs - well, Deux Ex, which had heaps of RPG elements in it, was set in the future with nano-tech and cyborgs. Mass Effect 1 and 2 take place in the future.
The thing is, it's difficult to have RPGs set in modern times. I mean, I don't want to level up my accountant to Charter grade or anything like that. Plus, a huge element of RPGs is with special abilities. And you can't really apply that sort of stuff to modern combat - I mean, you can't have Lv 6 Flashbangs or Lv 30 Bullet-firing skill. Mass Effect got away with that with a lot of handwaving whilst simultaneously shouting "TECHNOLOGY DOES IT" (don't get me wrong, I love the ME series to death, but their "TECHNOLOGY" excuse is very similar to the old "MAGIC" excuse, or "A WIZARD DID IT!"). But we don't have shields and special powers in modern day, so any modern setting would either need a healthy dose of "magic realm" (Like P4's TV land) or "Magic stuff" for it to work.
I just don't see myself Levelling up my Spetnaz so he can learn the Helicopter spell.