Why confuent-kafka consumer is preventing my Python script to intercept KeyboardInterrupt?

[espogian]

Please consider the following script:

from confluent_kafka import Consumer
import logging
import time

logger = logging.getLogger()
logger.addHandler(logging.StreamHandler())

consumer_config = {
    "bootstrap.servers": SERVER_ADDRESS,
    "group.id": GROUP_ID,
    "enable.auto.commit": "false",
    'auto.offset.reset': 'earliest',
    'sasl.kerberos.kinit.cmd': f"kinit -VVV -k -t {KEYTAB_FILE} {PRINCIPAL}",
    'security.protocol': 'sasl_plaintext',
    'sasl.mechanism': 'GSSAPI',
    'sasl.kerberos.service.name': 'kafka',
    'sasl.kerberos.keytab': KEYTAB_FILE,
    'sasl.kerberos.principal': PRINCIPAL
}

consumer = Consumer(consumer_config, logger=logger)

try:
    print("Waiting five seconds...")
    time.sleep(5)
except KeyboardInterrupt:
    print("KeyboardInterrupt") 
    consumer.close()

This script it's not doing anything by purpose. I can't understand why, if the row:
consumer = Consumer(consumer_config, logger=logger)
Is commented, then the KeyboardInterrupt (e.g. pressing Ctrl+C within the first five seconds the script is running) works properly, while if the consumer is initialised, the KeyboardInterrupt is not intercepted.