Something like this could do the trick and you can convert it into an inline table valued function which would be as fast as the normal query.

DECLARE @Start date = '20120918',

@End date = '20140918';

WITH E1(N) AS (

SELECT 1 UNION ALL SELECT 1 UNION ALL SELECT 1 UNION ALL

SELECT 1 UNION ALL SELECT 1 UNION ALL SELECT 1 UNION ALL

SELECT 1 UNION ALL SELECT 1 UNION ALL SELECT 1 UNION ALL SELECT 1

), --10E+1 or 10 rows

E2(N) AS (SELECT 1 FROM E1 a, E1 b), --10E+2 or 100 rows

E4(N) AS (SELECT 1 FROM E2 a, E2 b), --10E+4 or 10,000 rows max

cteTally(N) AS (--==== This provides the "base" CTE and limits the number of rows right up front

-- for both a performance gain and prevention of accidental "overruns"

SELECT TOP (DATEDIFF(DD, @Start, @End) + 1)

DATEADD( DD, ROW_NUMBER() OVER (ORDER BY (SELECT NULL)) - 1, @Start)

FROM E4

)

SELECT N

FROM cteTally l

WHERE DATENAME(DW, N) NOT IN( 'Saturday', 'Sunday');