Step 1: Understanding the Concept
Sponges (phylum Porifera) are at the cellular level of organisation. They have no true tissues, organs or nerve cells.
Step 2: Other animals
Hydra has a diffuse nerve net, cockroach has a ventral nerve cord with ganglia, and gorilla has a brain and spinal cord.
Step 3: Conclusion
Only sponges lack a nervous system.
Final Answer:
Nervous system is absent in sponges.
\[ \boxed{\text{(D) }\text{sponges}} \]