Some Unix history resources say that cd was external command at a some (quite early) period of Unix development. This was a special command which was able to modify parent's current directory.
You can see rudiments of this historical state in the fact that Solaris has /usr/bin/cd as a real command, in addition to shell builtins. But I'm unsure it does anything real in the current systems.
This being as external command was a temporary solution which was exterminated as soon as Unix developers became able to have shell builtins. It's too expensive to have a whole command (which shall have own process, be loaded from disk, etc.) in the place where simple system call is enough. So it became a builtin and, since this, didn't changed its state ever.
One could create a shell where nearly any command becomes built in; this is only a kind of design trade-off. For instance, cp mentioned here could be good candidate for this; and such building-in had been implemented in some shells for MS-DOS. But, in Unix, process creation and start is cheaper, and there is no need to invent a functionally internally unless it couldn't be implemented from another process. This includes cd, ulimit, exit, variable manipulations, control flow commands (if, for, while, etc.) and so forth.
type cd
– Rahul Patil Dec 22 '12 at 05:53