Arguably, even human brains work that way. You can't really draw a line across part of the CNS and say "This is where the brain stops." The retina, for instance, is almost as much a part of your brain as it is your eye.

By the same token, it's not always easy to classify complex movements as reflexes or thought-guided actions. Cut a chicken's head off while it's walking, and it will keep going for a while. My understanding (IANABiologist) is that the same is true for a human.