Jagged Alliance involves you hiring mercs based on their skills to take an island.
An obscure Japanese game called Hourai High takes place in the modern era at a school located on an island.
The coming Xenonauts seems to take place in a more modern setting than X-com.
Dead State and Fort Zombie are a coming and released rpg featuring zombies as the main enemies.
There's another obscure Japanese rpg called Laplace's Demon which takes place during the Roaring Twenties in a town located near a haunted mansion. (Haven't played it myself, just know it exists)
If you don't mind rpgs made in the RPGmaker programs, there's a game called Final Fantasy High (Ignore the name, as it was just a remnant from when it involved characters from Final Fantasy. Has more of a Earthbound feel to it). In that game you play as three girls trying to undercover the root of the mysterious events happening in their small town. Might have trouble finding it given that the old site that hosted it is gone.
Also, I think Koudelka and the Shadow Hearts games take place during the 1920s.
There's the mmorpg, The Secret World coming soon.
Pretty sure there's a minimal of thirty rpg franchises that take place in the modern setting. Then again, how are we defining modern? Post-Renaissance? Contemporary?
It's less likely that the reason is on account of a modern setting being boring, it's just that developers or publishers choose not to. Heck, one could easily make an rpg with a party of varied stats in the modern setting without resulting to magic. Looking to Parasite Eve 2's weaponry would be a good start, given its robust arms selection which doesn't follow the trend of new weapon equals better weapon; just a different weapon with its positives and negatives. (I utilized the first pistol from start to end)
Also, there's a let's play of both Hourai High and Laplace's Demon on Youtube.