When you are writing a library, you don't know what the program that calls you might have set up to handle failures, but you know exactly how to get to it: throw, and you are there, and it is now for the caller to decide what to do, thus not your problem. A library that exits has stolen control away from its rightful owner.

Very few languages are as finely tuned to the needs of libraries and users of libraries as C++. Exceptions are an essential part of that compact. Failing to abide by it makes your library a bad citizen.