It is a tricky situation to add a pollution removal system to the exhaust pipe of a car. Any such system would have to address the problem of dilution. As soon as pollution leaves a car it quickly becomes diluted and that means that you would have to treat a very large volume of air in order to solve the problem.
A quick example is that the polluted boundary layer over a city could be a kilometer thick. Imagine a car able to remove all pollution from the air going through the engine bay. A one square meter grill moving at 10 m/s can treat 10 cubic meters per second. To remove pollution from the atmosphere over a 1 km by 1 km area of a city would require 100 million seconds for one car; to do it in an hour would require 30,000 vehicles with the perfect system running continuously.
A major manufacturer played with the idea of putting a pollution control catalyst on the radiators of cars in the 1980s, and they ended the project due to the fact that even if the catalyst removed all pollution, it would not have had a significant effect on urban air pollution.
Because of the problem of dilution, most effort has gone into controlling pollution at the source by developing emissions catalysts, de-nox systems, particle filters, or by removing the engine altogether. For example over half of new car sales in Norway today are for electric vehicles. There is still the problem though of road dust, and particles from tires and brakes. One solution to reduce roadside pollution sources ride a bicycle to work as they do in Copenhagen.