Why is KeyboardInterrupt not working in python?

Question

Why doesn't code like the following catch CTRL-C?

MAXVAL = 10000
STEP_INTERVAL = 10

for i in range(1, MAXVAL, STEP_INTERVAL):
    try:
        print str(i)
    except KeyboardInterrupt:
        break

print "done"

My expectation is -- if CTRL-C is pressed while program is running, KeyboardInterrupt is supposed to leave the loop. It does not.

Any help on what I'm doing wrong?