Which only means that they never went into an Italian consulate and renounced their citizenship."
Italians have only been able to keep their Italian citizenship (in some but not all cases) when voluntarily acquiring foreign citizenship since 1992. Your great-grandfather and grandfather naturalized way before that and consequently lost their Italian citizenship.
Since 15 August 1992 the voluntary acquisition of foreign citizenship no longer leads to automatic loss of Italian citizenship. Italian Government Citizenship FAQ
My grandfather, my mother and I didn't voluntarily acquire US citizenship. It was bestowed on us at birth.
Your great-grandfather and grandfather naturalized way before that and consequently lost their Italian citizenship.
Again, my grandfather never naturalized as a US citizen. He was born a US citizen, and his father's naturalization, when my grandfather was 23 years old, had no effect on his status in any way.