Easier said than done.  Just think of the various steps that would be involved.

How do you know a buyer has enough dollars in their bank account?

How do you access the account?

How do you know they have enough Bitcoins in their wallet for sale?

How do you pool Bitcoins so that any size order can be placed or sold?

An exchange doesn't work like eBay, where specific amounts of goods are bought and sold.  An exchange pools the money so that any arbitrary amount can be bought or sold.  

How do you prevent people from altering the client to broadcast more bank funds than they actually have?

It seems incredibly difficult to do those things without a central server to coordinate and secure all the action.