How can I catch SIGINT in threading python program?

When using module threading and class Thread(), I can't catch SIGINT (Ctrl + C in console) can not be caught.

Why and what can I do?

Simple test program:

#!/usr/bin/env python

import threading

def test(suffix):
    while True:
        print "test", suffix

def main():
    for i in (1, 2, 3, 4, 5):
        threading.Thread(target=test, args=(i, )).start()

if __name__ == "__main__":
    main()

When I hit Ctrl + C, nothing happens.