The advantage to that approach comes to light if the guy you sold the gun to turns out to be less upstanding than you thought.maybe you can find a gun dealer or pawn shop owner who can act as intermediary. Of course, then the buyer will have to pay an FFL transfer fee, but that's a small price to pay for a good night's sleep.
Let's say I have a Glock 19 I want to sell. Even if my state does not register firearms, the dealer from whom I bought it will have the record. Should that gun show up at a crime scene, it will be traced back to me.
If I sell the gun to Billy, and despite my best judgment, Billy snaps and uses the gun in a crime, it'll come back to me. While I'm unlikely to face prosecution (they'd have to prove I knew Billy was ineligible), it'll certainly be a hassle.
If I have an FFL handle the transfer, they'll log it into their books from me and to Billy. If Billy decides that knocking over a liquor store is good business sense six months down the line, the ATF trace will lead to him, not me.