client not terminating on connection timeout

I have a question raised here on SO: http://stackoverflow.com/questions/38767067/python-program-not-exiting-on-exception-using-aiozmq which another user could reproduce.

Basically I am using rpc.connect_rpc with a timeout value. Once the timeout has exceeded, an exception is raised but the running program doesn't terminate. Details can be found from the aforementioned question.