GTF is a gene transfer format and as such it is supposed to be limited to describing genes. You may be able to coerce other features to look like genes but I think there is a chance that this would invalidate the results of some of the tools and techniques that you want to employ later. Those too may have been built to expect input from genes.
where did you look so far? I just checked out Ensembl Mouse, and indeed couldn't work out how to get regulatory features into gtf - you might have some luck mailing the Ensembl helpdesk to see if this is possible? In my experience they reply quickly and very usefully.
cross-posted: http://stackoverflow.com/questions/14747059