One could consider that an internet-connected web page with embedded Sage interacts is essentially the same thing, I suppose. I poked around and it wasn't clear that CDF is "computable" with anything other than Mathematica; if there is an open specification, in principle one could create something similar with Sage, just bundle a copy of Sage with your worksheet.

So my point is that one can do the same things with Sage (and indeed see things like http://shiny.rstudio.com/ for analogous stuff in R or other computational programs), but perhaps not that there is a one-to-one correspondence. Nor, frankly, should there be yet, since there is no real standardization among the many programs out there (Maple, Mathematica, Sage, R, Maxima, Geogebra...) though in the long term it may be beneficial.

Considering that "the CDF Player contains an entire runtime library of Mathematica allowing document content to be generated in response to user interaction using any algorithms or visualizations which can be described in Mathematica", it seems to me that cdf documents aren't exactly standalone either!