Nightmares are a form of stress... The more stress you have the "scarier" your dreams are... If you don't have them you are either emotionally strong or don't have any stress... It's a great thing you don't get nightmares!
It's quite common. At a certain age people stop having nightmares because things that frighten them aren't around very often. Also it's unlikely that who have never ever had one. It's more likely that you just can't remember every having one.