GPU Rigid Bodies do exist, but they are only supported by APEX Destruction module, afaik. And the have some limitations.
"When GPU rigid body support is enabled, all APEX destructible shapes will be simulated on the GPU instead of the CPU. PhysX actors created using the PhysX API will still be simulated on the CPU, but they will collide and interact with the APEX destructible shapes running on the GPU.
Currently, one way transfer of momentum is supported, so dynamic PhysX actors running on the CPU can move GPU rigid bodies, but not the other way around. Static PhysX actors are also supported so GPU rigid bodies created by APEX destruction will automatically collide with the static environment specified in the PhysX scene."