Swing is different from a command line environment in the sense that you have no events in a console window. A standard GUI deals with objects and events. A console has no such equivalent notion.
What you do have is a standard input (as well as a standard output), which you can read from. See this question on how to read a single char from console (without waiting for a newline) – or rather, on how this isn’t very easy to do in Java.
Of course, you can always do the reading asynchronously on a separate thread. i.e. the main thread will keep doing stuff, with a listener thread waiting on the I/O blocking call. But this can only be implemented and handled on the application level.