This paper studies asymptotic consensus problem for linear multi-agent systems. We propose a distributed state feedback control algorithm for solving the problem under fixed and undirected network communication. In contrast with the conventional algorithms that use global information (e.g., graph connectivity), the proposed algorithm only uses local information from neighbors. The principle for achieving asymptotic consensus is that, for each agent, a distributed update law gradually increases the coupling gain of LQR-type feedback and thus, the overall stability of the multi-agent system is recovered by the gain margin of LQR.