Tungsten? Hmmm...
I suspect its hardness would make it extremely difficult to machine, especially with any precision in the knurling, thus driving up the cost to unacceptable levels. Even with stainless steel, Peak avoids adding knurling to their bodies. I do know that firearm engravers hate working on stainless steel.
Tungsten would "feel good in the hand," but its increased weight would make it problematic for a keychain light -- at least for a big chunk of the target market. For example, you probably don't find many carrying a 3.5 oz. brass Peak McKinley or Kilimanjaro on their keychains.
Another problem with weighty keychain lights is that -- over time -- any increased weight on a keychain with car keys causes damaging wear on the car's delicate ignition-key system. And THEY are expensive to fix.