If the system is out of memory, and you're not in some special case huge allocation, odds are very high your program can't proceed in any useful way. You're going to have to terminate anyway. Why pretend it's a recoverable exception? It's usually of the same class as a stack overflow.

If you can't tolerate that philosophy, you might as well just give up dynamic allocation altogether and have everything in stack allocated std::array's. But you still might blow the stack.