Because it's proprietary? More appropriately, if it was so easy for the CPU to do it, why hasn't the same exact effects been done on the CPU to the same degree (or more) as physx in an actual game? Even more appropriately, if the CPU was so capable of doing it why has AMD said several times in the past they were investing in opencl and bullet physics to do what physx is doing (cloth simulation, debris, smoke, etc.) with their GPUs? Why not just let their CPU's do it, since they are (were) primarily a CPU company.
CPU's have been doing the effects you mention for years. I have seen smoke effects, blowing leaves and debris in many games without PhysX. PhysX simply takes effects that already exist and exagerates them to comical proportions. GPU physics for these effects can take the load from the CPU but the workload then goes to the GPU. Ask yourself why if these effects are so efficient on GPU, why do they slow a Nvidia GPU by > 50% FPS in many cases?
For me this 50% FPS hit on some extra smoke and fake debris is not worth it. I much prefer to use my GTX 680 to add extra Super Samlping or higher amounts of FSAA.