What the Guru tells us is that 'everyone knows that everyone knows that there's a blue-eyed person'. To see why this is not obvious, consider the case where there are only three people - let's say, three blue-eyed people.

Let's say I'm one of them. I know two people have blue eyes (I can see them). I also know that the person next to me knows there's at least one blue eyed person (I don't know the colour of my eyes, but I know he can see the colour of the eyes of the third blue-eyed person). However, without the Guru, I don't know that the person next to me knows, that the third person knows there is a blue-eyed person. Which means the base case of my reasoning fails, and nobody can leave.