It's more complex when it comes to marginal trading. Imagine that you bought a position with say 1:10 leverage for all your depo size. Now, during weekend the market depth is very low and someone significantly pushes the price down by selling a big lot. This leads to a margin call situation and your position forcibly gets closed by selling at market price.
And if it would be closed over weekend, there would be no such situation, the exchange would open smoothly next working day, or open with a gap if something serious happened.
But, I'm not proposing to limit exchanges time at all, just stating an example, especially that such exchange doesn't exist yet I (marginal futures trading). Well, except the one (ICBIT) I am creating