I have never fully understood why Lightroom works exclusively in the RGB colour space. I would assume that a large number of Lightroom users use the software to prepare their photos for print. Yet, I have to import my RGB images into Photoshop just to convert to CMYK. Is this limitation by design or just a feature that hasn't been added yet?
Lightroom was never intended to be an all in one image editing solution. In the beginning it was limited to just raw conversion and slowly more Photoshop like features, such as local corrections have been added. I wouldn't be surprised if CMYK was added somewhere down the line.
Although a large number of users print images from Lightroom, doing your own CYMK conversion is a fairly advanced step that you only need to perform if you need total control over the conversion process, or if you need to use a specific black mix for magazine work. It is assumed that advanced users will have access to tools such as Photoshop to perform these steps.
Lightroom operates in the ProPhoto color space and has built-in exporting to sRGB and AdobeRGB. You can also export to any other ICC profile (for a home printer or other device). Most photo labs require files to be in sRGB or AdobeRGB and sRGB is the color space of the web.
I would imagine that if you need to convert to CMYK for printing, Lightroom would be only the first stop in your process. You would likely finish in another tool like Illustrator or Photoshop.