How to reproduce: Run the following program:
=========================

import asyncio
async def handle_connection(reader, writer):
    try:
        await reader.readexactly(42)
    except BaseException as err:
        print('Interesting: %r.' % err)
        raise
    finally:
        writer.close()

loop = asyncio.get_event_loop()
coro = asyncio.start_server(handle_connection, '127.0.0.1', 8888)
server = loop.run_until_complete(coro)
try:
    loop.run_forever()
except KeyboardInterrupt:
    print('KeyboardInterrupt catched.')
server.close()
loop.run_until_complete(server.wait_closed())
loop.close()

=========================

0. Python 3.5.2
1. Connect using telnet to localhost and port 888, type one short line and press Enter.
2. Type Ctrl+C in terminal where programw is running.
3. You will see the following output:

=========================

^CKeyboardInterrupt catched.
Interesting: GeneratorExit().
Exception ignored in: <coroutine object handle_connection at 0x7fa6a1d91b48>
Traceback (most recent call last):
  File "bug.py", line 12, in handle_connection
    writer.close()
  File "/usr/lib/python3.5/asyncio/streams.py", line 306, in close
    return self._transport.close()
  File "/usr/lib/python3.5/asyncio/selector_events.py", line 591, in close
    self._loop.call_soon(self._call_connection_lost, None)
  File "/usr/lib/python3.5/asyncio/base_events.py", line 567, in call_soon
    handle = self._call_soon(callback, args)
  File "/usr/lib/python3.5/asyncio/base_events.py", line 576, in _call_soon
    self._check_closed()
  File "/usr/lib/python3.5/asyncio/base_events.py", line 356, in _check_closed
    raise RuntimeError('Event loop is closed')
RuntimeError: Event loop is closed
Task was destroyed but it is pending!
task: <Task pending coro=<handle_connection() done, defined at bug.py:4> wait_for=<Future pending cb=[Task._wakeup()]>>

=========================

This is almost canonical example of asyncio usage. So I have two questions:

1. Why coroutine is interrupted with GeneratorExit instead of CancelledError ?
2. Why something happend AFTER io loop is closed ?
3. How to code all that right ? I want to close connection on any error. Example provided is simplified code. In real code it looks like:

=====
try:
await asyncio.wait_for(self._handle_connection(reader, writer), 60)
except asyncio.TimeoutError:
writer.transport.abort()
except asyncio.CancelledError:
writer.transport.abort()
except Exception:
writer.transport.abort()
finally:
writer.close()
=====

I've also been affected by this and found that if you use asyncio.run() the coroutine is interrupted with a CancelledError as you'd expect. The following script shows that

=======================

import asyncio

async def handle_connection(reader, writer):
    try:
        await reader.readexactly(42)
    except BaseException as err:
        print('Interesting: %r.' % err)
        raise
    finally:
        writer.close()

async def main():
    listener = await asyncio.start_server(handle_connection, '127.0.0.1', 8888)
    try:
        async with listener:
            await listener.serve_forever()
    except KeyboardInterrupt:
        print('KeyboardInterrupt')

asyncio.run(main())

=============================================

Not able to reproduce on main and main has new signal handling which won't be backported so closing.

The original example doesn't cause any errors for me, even on Python 3.8. But, we see a lot of these errors in aiohttp's test suite and have struggled to track them down:
aio-libs/aiohttp#7196