diff --git a/CHANGES/2441.bugfix b/CHANGES/2441.bugfix
new file mode 100644
index 00000000000..86f518b4ed4
--- /dev/null
+++ b/CHANGES/2441.bugfix
@@ -0,0 +1 @@
+_SessionRequestContextManager closes the session properly now.
diff --git a/aiohttp/client.py b/aiohttp/client.py
index 7eaf4aea580..62b879449c6 100644
--- a/aiohttp/client.py
+++ b/aiohttp/client.py
@@ -724,16 +724,16 @@ def __init__(self, coro, session):
     def __iter__(self):
         try:
             return (yield from self._coro)
-        except:
-            self._session.close()
+        except BaseException:
+            yield from self._session.close()
             raise
 
     if PY_35:
         def __await__(self):
             try:
                 return (yield from self._coro)
-            except:
-                self._session.close()
+            except BaseException:
+                yield from self._session.close()
                 raise