It's not hard to create a calendar entry on your iPhone that repeats only on weekdays, but its not quite straight-forward either.
Step 1: Create an event
Step 2: On the "Repeat" category above click on "Never" to change it.
Step 3: Change "Never" to "Every Week" above and it will pull you back to the previous page.
Step 4: On the "Repeat" category, select "Weekly"
Step 5: Now that it knows you want "Every Week", select Custom to modify it
Step 6: Then check all the work days and return by selecting "
Step 7: Then to double-check, edit the event, and it should say "repeats weekdays", like below:
This is a little convoluted, but the easiest way I've found. Let me know if there's a better way.