Ctrl+C terminates the main thread, but because your threads aren't in daemon mode, they keep running, and that keeps the process alive. We can make them daemons:

f = FirstThread()
f.daemon = True
f.start()
s = SecondThread()
s.daemon = True
s.start()

But then there's another problem - once the main thread has started your threads, there's nothing else for it to do. So it exits, and the threads are destroyed instantly. So let's keep the main thread alive:

import time
while True:
    time.sleep(1)

Now it will keep print 'first' and 'second' until you hit Ctrl+C.

Edit: as commenters have pointed out, the daemon threads may not get a chance to clean up things like temporary files. If you need that, then catch the KeyboardInterrupt on the main thread and have it co-ordinate cleanup and shutdown. But in many cases, letting daemon threads die suddenly is probably good enough.

After the first execution of

threads = [t.join(1) for t in threads if t is not None and t.isAlive()]

your variable threads contains

[None, None, None, None, None, None, None, None, None, None]

after the second execution, the same variable threads contains:

[]

At this point, len(threads) > 0 is False and you get out of the while loop. Your script is still running since you have 10 threads still active, but since you're not anymore in your try / except block (to catch KeyboardInterrupt), you can't stop using Ctrl + C

Add some prints to your script to see what I described:

#!/usr/bin/python

import os, sys, threading, time

class Worker(threading.Thread):
  def __init__(self):
    threading.Thread.__init__(self)
    # A flag to notify the thread that it should finish up and exit
    self.kill_received = False

  def run(self):
      while not self.kill_received:
          self.do_something()

  def do_something(self):
      [i*i for i in range(10000)]
      time.sleep(1)

def main(args):

    threads = []
    for i in range(10):
        t = Worker()
        threads.append(t)
        t.start()
        print('thread {} started'.format(i))

    while len(threads) > 0:
        print('Before joining')
        try:
            # Join all threads using a timeout so it doesn't block
            # Filter out threads which have been joined or are None
            threads = [t.join(1) for t in threads if t is not None and t.isAlive()]
            print('After join() on threads: threads={}'.format(threads))

        except KeyboardInterrupt:
            print("Ctrl-c received! Sending kill to threads...")
            for t in threads:
                t.kill_received = True
    print('main() execution is now finished...')

if __name__ == '__main__':
  main(sys.argv)

And the result:

$ python thread_test.py
thread 0 started
thread 1 started
thread 2 started
thread 3 started
thread 4 started
thread 5 started
thread 6 started
thread 7 started
thread 8 started
thread 9 started
Before joining
After join() on threads: threads=[None, None, None, None, None, None, None, None, None, None]
Before joining
After join() on threads: threads=[]
main() execution is now finished...

Actually, Ctrl + C doesn't stop to work after 15 seconds, but after 10 or 11 seconds. This is the time needed to create and start the 10 threads (less than a second) and to execute join(1) on each thread (about 10 seconds).

Hint from the doc:

As join() always returns None, you must call isAlive() after join() to decide whether a timeout happened – if the thread is still alive, the join() call timed out.

This is a known issue, explained in Issue 35935.

A way to solve it is to revert to the default kernel behaviour of SIGINT using signal.signal(signal.SIGINT, signal.SIG_DFL), (solution pointed out by the issue OP). As to why this has to be the case is beyond the scope of my knowledge.

This works on Windows using Python 3.8+.

Implementation:

import time, threading
import signal


class MainClass(threading.Thread):

    def __init__(self):
        super().__init__()

    def run(self):
        while True:
            time.sleep(1)
            print("Looping")


# Script entry point
if __name__ == '__main__':
    a = MainClass()
    a.daemon=True
    signal.signal(signal.SIGINT, signal.SIG_DFL)
    a.start()
    a.join()

The way threading.Thread (and thus threading.Timer) works is that each thread registers itself with the threading module, and upon interpreter exit the interpreter will wait for all registered threads to exit before terminating the interpreter proper. This is done so threads actually finish execution, instead of having the interpreter brutally removed from under them. So when you hit ^C, the main thread receives the signal, decides to terminate and waits for the timers to finish.

You can set threads daemonic (with the setDaemon method) to make the threading module not wait for these threads, but if they happen to be executing Python code while the interpreter exits, you get confusing errors during exit. Even if you cancel the threading.Timer (and set it daemonic) it can still wake up while the interpreter is being destroyed -- because threading.Timer's cancel method just tells the threading.Timer not to execute anything when it wakes up, but it has to actually execute Python code to make that determination.

There is no graceful way to terminate threads (other than the current one), and no reliable way to interrupt a thread that's blocked. A more manageable approach to timers is usually an event loop, like the ones GUIs and other event-driven systems offer you. What to use depends entirely on what else your program will be doing.

The issue is that after the execution falls off the main thread (after main() returned), the threading module will pause, waiting for the other threads to finish, using locks; and locks cannot be interrupted with signals. This is the case in Python 2.x at least.

One easy fix is to avoid falling off the main thread, by adding an infinite loop that calls some function that sleeps until some action is available, like select.select(). If you don't need the main thread to do anything at all, use signal.pause(). Example:

if __name__ == '__main__':
    signal.signal(signal.SIGINT, handler)
    main()
    while True:           # added
        signal.pause()    # added