threading ignores KeyboardInterrupt exception

I'm running this simple code:

import threading, time

class reqthread(threading.Thread):    
    def run(self):
        for i in range(0, 10):
            time.sleep(1)
            print('.')

try:
    thread = reqthread()
    thread.start()
except (KeyboardInterrupt, SystemExit):
    print('\n! Received keyboard interrupt, quitting threads.\n')

But when I run it, it prints

$ python prova.py
.
.
^C.
.
.
.
.
.
.
.
Exception KeyboardInterrupt in <module 'threading' from '/usr/lib/python2.6/threading.pyc'> ignored

In fact python thread ignore my Ctrl+C keyboard interrupt and doesn't print Received Keyboard Interrupt. Why? What is wrong with this code?