Why not add a signal handler for $SIG{INT} to the parent? For example, if I add this:

sub sigint {
    die "Dying.";
}
$SIG{INT} = \&sigint;
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to your program up at the top, everything exits fine on SIGINT, and the end block is executed:

$ perl test.pl
processing sleep(0) in thread 1
processing sleep(1) in thread 1
processing sleep(3) in thread 3
processing sleep(0) in thread 4
processing sleep(2) in thread 4
processing sleep(4) in thread 2
processing sleep(0) in thread 1
processing sleep(3) in thread 1
processing sleep(4) in thread 4
processing sleep(5) in thread 3
<C-c>
Dying. at test.pl line 25.
END block executed
A thread exited while 3 threads were running.
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You probably want to do something other than die(), but same idea. SIGCHLD (ignored by default) will catch child deaths, if that's what you wanted originally.