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Any electron (in the shell) at any orbit of around of an atom can be stimulated by photon (of course as depending on the energy level of photon). So that, it can change its orbit and come back previous by emitting photon.

But in the Space, although there is lots of different photons in cosmic waves with all different energy levels and frequencies, the free electrons can not be excited by these photons.

Why? And what is the difference for this free electron and the electron of an atom (which may be interacting with a photon)?

I asked this question, because of photoelectric effect. I try to understand, the situation of an electron after it is separated from atom by a (hitting) photon and this electron can carry energy which we define it as electricity.

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You have to distinguish between the potential well situation of electrons around a nucleus, where the electron is trapped and kinetic energy has to be supplied so that it is freed, and the free electron in the universe scattering off random photons.

What happens with electrons in potential wells can be seen clearly in this hydrogen atom representation. Note that it is a quantum mechanical situation as both electrons, nuclei and photons are quantum mechanical entities.

hydrogen atom

To completely free the electron, a photon of at least 13.6ev has to interact with the hydrogen atom.

A free electron does not have constituents, it is represented as a point particle, so in the center of mass of an electron photon collision the most that can happen is that the electron will be deflected. It cannot absorb the photon because energy and momentum have to be conserved.

The only thing that can happen ( for photons of low energy) when a photon hits an electron is the compton effect.

ecompton

is the scattering of a photon by a charged particle, usually an electron. It results in a decrease in energy (increase in wavelength) of the photon (which may be an X-ray or gamma ray photon), called the Compton effect. Part of the energy of the photon is transferred to the recoiling electron. Inverse Compton scattering occurs, in which a charged particle transfers part of its energy to a photon.

MagTun
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Electrons "in the Space" interact with the electromagnetic field, according to the Maxwell equations. Even a single photon (EMF of the lowest nonzero intensity) can scatter from an electron (see the Compton effect, etc.).