Use the atexit module of Python's standard library to register "termination" functions that get called (on the main thread) on any reasonably "clean" termination of the main thread, including an uncaught exception such as KeyboardInterrupt. Such termination functions may (though inevitably in the main thread!) call any stop function you require; together with the possibility of setting a thread as daemon, that gives you the tools to properly design the system functionality you need.
If you spawn a Thread like so - myThread = Thread(target = function) - and then do myThread.start(); myThread.join(). When CTRL-C is initiated, the main thread doesn't exit because it is waiting on that blocking myThread.join() call. To fix this, simply put in a timeout on the .join() call. The timeout can be as long as you wish. If you want it to wait indefinitely, just put in a really long timeout, like 99999. It's also good practice to do myThread.daemon = True so all the threads exit when the main thread(non-daemon) exits.
Daemon threads are killed ungracefully so any finalizer instructions are not executed.
A possible solution is to check is main thread is alive instead of infinite loop.
E.g. for Python 3:
while threading.main_thread().isAlive():
do.you.subthread.thing()
gracefully.close.the.thread()