The use of loading screens in Bethesda games is not entirely consistent, it seems to be related to more peculiar and engine specific reasons than just dynamic objects. There are sometimes huge and complex interior environments with no loading screens within them, other times you enter a small building (loading screen), then the cellar of it with only a handful of dynamic objects requires another loading screen. On the other hand, the entire overworld with thousands of objects is seamless. But separate interior cells can have different lighting and effects, are not affected by time of day or weather (if it is raining in the overworld, it is also raining inside buildings without loading screens), and can have gameplay related advantages like blocking sound propagation for the purpose of stealth (i.e. if you make a noise inside a building, enemies outside will not hear it). Sometimes the interiors of a house are also larger than the building itself.
In theory, it should be possible to remove loading screens entirely, even if I do think it may have required some compromises in The Witcher 3, as the interiors tend to be relatively simple. In a dense city, it also reduces the load on the hardware if nothing inside the buildings needs to be simulated or partly rendered while you are on the streets. But RED engine 4 will probably further improve the efficiency.