Serious question: If there was an item lock feature and you still happened to lose an item because you vendored it and then left the game, how would you feel?
Incredibly stupid, because there was already a fail-safe (i.e. item lock) in place and I did not utilise it. Seriously, anybody who still vendors his equipped items despite having such a function has no right to complain about it, unless the item lock was poorly designed. If he/she comes to the forums to cry about it, you can be sure there will be a flood of "Use the item lock" comments, since Blizzard has already done their part there.
And saying that, the item lock is just a simple check box to code for. Currently, I'm scanning through my gear and stats everytime before I leave a vendor, but sometimes I can't do so (e.g. partying with others, rushing to the next uber etc). This feature would save me alot of trouble and worry. Everyday players are losing their equipped gear (even careful players), and maybe myself one dreaded day.
Please, implement this soon. It's like using a knife at a cutting board; even the most skilled chefs can eventually hurt themselves if they do not use protective gloves. The high frequency, even if coupled with a low rate of error, will ensure accidents happen.