diff --git a/python/ray/actor.py b/python/ray/actor.py
index 6a4819471bc78..800a5eaad605e 100644
--- a/python/ray/actor.py
+++ b/python/ray/actor.py
@@ -1775,9 +1775,13 @@ def exit_actor():
         # In asyncio actor mode, we can't raise SystemExit because it will just
         # quit the asycnio task, not the main thread. Instead, we use
         # asyncio.Event for synchronization across multiple asyncio tasks.
+        class MyError(Exception):
+            pass
+
         if worker.core_worker.current_actor_is_asyncio():
             worker.core_worker.is_current_async_actor_exited = True
-            return
+            # return
+            raise MyError()
 
         # Set a flag to indicate this is an intentional actor exit. This
         # reduces log verbosity.