They can be finished in one sitting. Their brevity encourages authors to be more precise. And the best ones are so layered and deliberately worded that readers can enjoy them repeatedly, always discovering some new detail.
Games like Left 4 Dead, Medal of Honor: Airborne, and Star Wars: Battlefront remind me of short story collections.
The heart of each is individual levels/areas, rather than some story created by the combination of those levels. Each level is self-contained, resolved without need of the others. This emphasis has lead to top-notch level design.
And because each level's conclusion offers independent resolution, games like Airborne and SW:B can be enjoyed briefly, periodically, and leisurely.
What other aspects of literary short stories might be applied to games?
I'd like to say a game could be much more diverse within itself (each level with a different aesthetic style, vastly different setting, different weapons, etc -- like a short story anthology). But graphical assets, programming, and play-balancing are unfortunately much more expensive than words.