Stopping a thread should be up to the programmer to implement. Such as designing your thread to check it there are any requests for it to terminate immediately. If python (or any threading language) allowed you to just stop a thread then you would have code that just stopped. This is bug prone, etc.
Imagine if your thread as writing output to a file when you killed/stopped it. Then the file might be unfinished and corrupt. However if you simple signaled the thread you wanted it to stop then it could close the file, delete it, etc. You, the programmer, decided how to handle it. Python can't guess for you.
I'd suggest reading up on multi-threading theory. A decent start: http://en.wikipedia.org/wiki/Multithreading_(software)#Multithreading
