I just found out that in the version OBIEE 11.1.1.7.1, you can do exactly that. Look at the dashboard below with seven tabs. Navigate on top right to page options > Export to Excel > Export Entire Dashboard:

So cool, it saves entire dashboard into an excel file, with one excel tab for each dashboard tab:

There is one caveat to this functionality, i.e. you will have to make sure all dashboard have been defaulted to the right prompt which you want to download. Other than that, its great addition to OBIEE.
Update: This option is available through Agents as well in 11.1.1.7.1 version:



