You must remember that at the very first season all Stark kids got a direwolf, sadly Arya had to bid goodbye to her direwolf Nymeria in the second episode of season 1, because Nymeria attacked Joffrey and to save her life Arya had to force her self to chase off Nymeria. Up till this time in the show, most of the Stark’s Direwolfs were dead. Only ones that remain alive are Arya’s Nymeria and Jon’s Ghost.
In second episode of season 7, Stormborn we saw an emotional reunion of Arya and Nymeria. Arya asked Nymeria to go back to Winterfell together, but just like Arya changed so did Nymeria. She has grown a lot since last time we saw her, created her own world and even formed her own wolf pack. She is not ready to be someone’s pet so she part ways with Arya again.
Also, the reason we don’t get to see many scenes with direwolfs is that producers have a high bar for visual realism and rendering extra large furry animals convincingly is very hard.
Source: http://ew.com