If your GM doesn't mind, there's no reason why a centaur couldn't work. You'd want to keep him roughly balanced with other races; 4e doesn't really have the same concept of monster levels as 3e did, so he needs to be on par with other races from level 1 onwards.
Building Your Own Based On Another Race
Each 4e race gets +2 to two stats. For the centaur, I'd make it Dexterity and Strength -- they're strong and agile, if I recall correctly. Constitution would be a decent alternative to Dexterity, if you want to emphasize endurance.
Next, I'd take a look at another race that has similar characteristics. In this case, how about the minotaur from Player's Handbook 3? The minotaur has a charge power, which seems to make sense for centaurs. They get skill bonuses to Nature and Perception. The former is a good match for a wild race like centaurs; Perception might not be as good, but you can change that to any other skill without causing any problems at all.
If I were doing this, I'd also want the centaur to be faster than most races. Minotaurs are speed 6, which is exactly average. If you make the centaur speed 7, you should drop some other class feature. Minotaurs have an ability called Ferocity to reflect their bloodthirst: when they drop to 0 hit points, they get to make a free attack. That doesn't seem to match the centaur all that well, so maybe drop Ferocity and take the extra square of speed instead?
The other advantage of using a minotaur is that you could keep many of the minotaur feats. For example, there's a minotaur feat called Springing Charge that allows you to charge again when you score a critical hit with a charge attack. Normally it's minotaur-only, but there's no reason not to let a centaur who's based on the minotaur use it.
In some cases, of course, the minotaur feats won't make sense. Ferocious Frenzy is a feat that builds on the minotaur's Ferocity power, and if you don't give that one to the centaur, the feat doesn't make much sense either.
The basic concept of taking something that's already been written and renaming it to be the idea you want is called reflavoring in 4e terms, and it's immensely useful for all kinds of things.
Building Your Own From Scratch
Now, if you want to put a bit more effort (and some money) into it, there's an absolutely great PDF called Hard Boiled Cultures, which breaks down ways to balance new races. It's pretty cheap and I recommend it to anyone who wants to read some smart stuff on adjusting cultures in 4e, but it's definitely not the easiest way to get a playable centaur.
Third Party/Fan Material
I can't vouch for the quality of any of these, but:
Man, definitely a tendency for fan-built centaurs to have the fey origin. If you like that, you could add it to the minotaur reflavoring above with no issues.