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.
BTW: some small spiders press their brains not only into their abdomens, but into their legs. e.g. http://news.nationalgeographic.com/news/2011/12/111219-spide... Spiders gotta spin.