Current flows between positive and negative until the voltages are equal. With static electricity the "store" of high voltage is very soon exhausted, but with a battery, mains or generator supply it's constantly replenished, and this requires the electrons to return around a circuit.
It's a bit like the difference between the water flow when tipping a bucket over, and what you get when turning on a tap.
Ultimately there is in fact a circuit with lightning and other "static" charges. The voltage builds up slowly, with the clouds gradually acquiring charge from the ground. The lightning happens when this voltage suddenly discharges.
The ground forms part of the circuit, as with an electric fence: the circuit goes from the fencer unit to the wire, to my cow's nose, down her legs, then through the ground back to the earth spike of the fencer.
Don't forget that some lightning is positively charged relative to the ground, and some negatively so.