There's a little known secret guild of fire starters that do just that called the Eternal Flame...they quietly keep the dungeons of Skyrim well lit for the draugr who dwell there that's why they don't attack them.
It bothers me a bit with the dungeons that haven't been accessed in hundreds of years still having well lit fires but this is a fantasy land so I chalk it up to magic. A magical spell keeps the torches and braziers lit