Thank you if you can help me out of trouble. :)

My I94 expired on Sep 4th. Before that, I had already sent out an I539
application and got the receipt number.
But, what if I want to leave US before I can get the new I94 (no
matter that the application is approved or not). 
Because in that case, I will have no I94 with me at departure.
Is there any limitation?

BTW: I did not receive the receipt at all, so I had to call NSCIS to
get my receipt number by phone. I only have a copy of my I539
application and a copy of my original I94, and the receipt number.

If you can answer me with detailed information, and a refrences link,
whatever, that will be helpful.
Thanks a lot.