I'm still trying to imagine walking around with $40,000 in a suit case thinking **Please don't rob me, please don't rob me***
An additional issue being that it is illegal to fly with over $10,000USD within the United States. So yeah, meet at bank - withdraw - exchange is about the only semi-legal/safe way to conduct this. Of course some may not care about violating US law but having $38k seized is a fairly large risk IMHO