I recognized it for some time now. I first thought, I accidentally closed the window, but I can reproduce it pretty easily. This is annoying since I loose my session state. It's not what I'm used to or what I would expect from any CLI tool, so I think this is a bug.
Reproduction:
> bash # Start a new sub-shell
> mill <TAB> # Start Mill auto-complete process but abort it before it finishes with '^C'
^C
exit
The last exit seem to come for the bash process, as can be seen also, when the bash is closed with ^D (end of file).