There are lots of players in this market: Stereolist.com, theaudioxchange.com, Myaudiolisting.com, USAaudiomart.com, and Audiophile.org. Add to this, forums with their own classfieds like audioasylum.com and audiokarma.org. You start to see it isn't as easy as just putting up a site. Even with Audiogon's issues, the other sites could only pull a fraction of the business. It is a real catch-22. Sellers want lots of traffic and buyers want to see lots of classifieds. New guys don't have either and it's hard to get people to post ads when they don't think many will see it. Then there is the whole issue of a sellers track record. The numbers of scammers out their has made the buying public a little gun shy.
Yes, you can create your own site but to have it become a money making venture could take years or maybe never.