I think the reason why districts were not made removable is down to two reasons:
- Districts are fixed bonuses and as there is no real economy in the game (employment etc.), you don't need to micromanage your industry to compete with another civ or change your industry to chase new technologies to replace old ones that become obsolete. It's all flat bonuses.
- A lot of wonders rely on the adjacency or presence of a district in that city, and allowing players to remove districts could lead to them cheesing the game into their capital having every powerful wonder without the districts required.
That said, I think the game could benefit from a district mechanic where you run a city project to do one of three things:
- Move a district, placing the equivilant number of hammers spent building the district and it's buildings in the first place to move it to a more suitable location in the city.
- recommision a district to turn it into another district.
- Remove a district, however this should have two penalities. One is some sort of amenity penalty for a set number of turns, to replicate the disruption this would cause (such as the job losses losing an industrial district would cause). It should also cause any wonders that rely on that district to lose it's bonuses.