This problem is because OpenSSL load the library just for one time and after that it does not keep the state, so if we want to keep the state we must use the following commands:
[root@localhost 04:58:25 home]$ openssl
OpenSSL> engine -t dynamic -pre SO_PATH:/usr/lib/openssl/engines/engine_pkcs11.so -pre ID:pkcs11 -pre LIST_ADD:1 -pre LOAD -pre MODULE_PATH:/usr/local/lib/libsst.so
(dynamic) Dynamic engine loading support
[Success]: SO_PATH:/usr/lib/openssl/engines/engine_pkcs11.so
[Success]: ID:pkcs11
[Success]: LIST_ADD:1
[Success]: LOAD
[Success]: MODULE_PATH:/usr/local/lib/libsst.so
Loaded: (pkcs11) pkcs11 engine
[ available ]
OpenSSL> engine
(aesni) Intel AES-NI engine (no-aesni)
(dynamic) Dynamic engine loading support
(pkcs11) pkcs11 engine
OpenSSL>