diff --git a/tornado/platform/asyncio.py b/tornado/platform/asyncio.py
index 8d16aa6d15..79e60848b4 100644
--- a/tornado/platform/asyncio.py
+++ b/tornado/platform/asyncio.py
@@ -23,6 +23,7 @@
 """
 
 import asyncio
+import atexit
 import concurrent.futures
 import errno
 import functools
@@ -59,6 +60,31 @@ def fileno(self) -> int:
 _T = TypeVar("_T")
 
 
+# Collection of selector thread event loops to shut down on exit.
+_selector_loops: Set["SelectorThread"] = set()
+
+
+def _atexit_callback() -> None:
+    for loop in _selector_loops:
+        with loop._select_cond:
+            loop._closing_selector = True
+            loop._select_cond.notify()
+        try:
+            loop._waker_w.send(b"a")
+        except BlockingIOError:
+            pass
+        if loop._thread is not None:
+            # If we don't join our (daemon) thread here, we may get a deadlock
+            # during interpreter shutdown. I don't really understand why. This
+            # deadlock happens every time in CI (both travis and appveyor) but
+            # I've never been able to reproduce locally.
+            loop._thread.join()
+    _selector_loops.clear()
+
+
+atexit.register(_atexit_callback)
+
+
 class BaseAsyncIOLoop(IOLoop):
     def initialize(  # type: ignore
         self, asyncio_loop: asyncio.AbstractEventLoop, **kwargs: Any
@@ -453,6 +479,7 @@ async def thread_manager_anext() -> None:
         self._waker_r, self._waker_w = socket.socketpair()
         self._waker_r.setblocking(False)
         self._waker_w.setblocking(False)
+        _selector_loops.add(self)
         self.add_reader(self._waker_r, self._consume_waker)
 
     def close(self) -> None:
@@ -464,6 +491,7 @@ def close(self) -> None:
         self._wake_selector()
         if self._thread is not None:
             self._thread.join()
+        _selector_loops.discard(self)
         self.remove_reader(self._waker_r)
         self._waker_r.close()
         self._waker_w.close()
diff --git a/tornado/test/circlerefs_test.py b/tornado/test/circlerefs_test.py
index 5c71858ff7..5c25adffd8 100644
--- a/tornado/test/circlerefs_test.py
+++ b/tornado/test/circlerefs_test.py
@@ -197,21 +197,21 @@ def test_run_on_executor(self):
         # and tornado.concurrent.chain_future.
         import concurrent.futures
 
-        thread_pool = concurrent.futures.ThreadPoolExecutor(1)
+        with concurrent.futures.ThreadPoolExecutor(1) as thread_pool:
 
-        class Factory(object):
-            executor = thread_pool
+            class Factory(object):
+                executor = thread_pool
 
-            @tornado.concurrent.run_on_executor
-            def run(self):
-                return None
+                @tornado.concurrent.run_on_executor
+                def run(self):
+                    return None
 
-        factory = Factory()
+            factory = Factory()
 
-        async def main():
-            # The cycle is not reported on the first call. It's not clear why.
-            for i in range(2):
-                await factory.run()
+            async def main():
+                # The cycle is not reported on the first call. It's not clear why.
+                for i in range(2):
+                    await factory.run()
 
-        with assert_no_cycle_garbage():
-            asyncio.run(main())
+            with assert_no_cycle_garbage():
+                asyncio.run(main())