According to Autodesk website, it is possible to directly export to Illustrator graphics (.ai) from 3ds Max by using the default Export function.
This will export shapes that can be converted to Bezier splines (2D only). Such export uses only the X and Y coordinates of the shape's local coordinate system, discarding the Z coordinates.
Same 3ds to ai conversion or export can perhaps be done with competitive products as long as they support both 3ds Max formats and AI export function.