He did. The last scene in ROTJ shows him having it (you need to look closely to see it), and in Shattered Empire – which set shortly after that – he uses it again.

Obviously, though, Rey would have no way of knowing this, considering that prior to the events of the movie, she thought he was nothing more than a myth. He might have lost the lightsaber along the way, but I doubt it.

He could dual wield now!