Threading, как закрыть поток на Python?

Из документации threading:

A thread can be flagged as a “daemon thread”. The significance of this flag is that the entire Python program exits when only daemon threads are left. The initial value is inherited from the creating thread. The flag can be set through the daemon property or the daemon constructor argument.

Note:
Daemon threads are abruptly stopped at shutdown. Their resources (such as open files, database transactions, etc.) may not be released properly. If you want your threads to stop gracefully, make them non-daemonic and use a suitable signalling mechanism such as an Event.

Поэтому точно так-же, как и в скрытом смысле этой цитаты, советую ознакомиться с классом Event.