Wolf-Rayet stars are advanced evolutionary stages of massive stars. Despite their large mass-loss rates and high wind velocities, none of them display a bow shock, although a fraction of them are classified as runaway. Our 2.5-D numerical simulations of circumstellar matter around a 60Mo runaway star show that the fast Wolf-Rayet stellar wind is released into a wind-blown cavity filled with various shocks and discontinuities generated throughout the precedent evolutionary phases. The resulting fast-wind slow-wind interaction leads to the formation of spherical shells of swept-up dusty material similar to those observed in near infrared 24 micron with Spitzer, and which appear to be co-moving with the runaway massive stars, regardless of their proper motion and/or the properties of the local ambient medium. We interpret bright infrared rings around runaway Wolf-Rayet stars in the Galactic plane, like WR138a, as indication of their very high initial masses and a complex evolutionary history. Stellar-wind bow shocks become faint as stars run in diluted media, therefore, our results explain the absence of detected bow shocks around Galactic Wolf-Rayet stars such as the high-latitude, very fast-moving objects WR71, WR124 and WR148. Our results show that the absence of a bow shock is consistent with a runaway nature of some Wolf-Rayet stars. This questions the in-situ star formation scenario of high-latitude Wolf-Rayet stars in favor of dynamical ejection from birth sites in the Galactic plane.