What happens when an exception goes unhandled in a multithreaded C++11 program?

Nothing has really changed. The wording in n3290 is:

If no matching handler is found, the function std::terminate() is called

The behavior of terminate can be customized with set_terminate, but:

Required behavior: A terminate_handler shall terminate execution of the program without returning to the caller.

So the program exits in such a case, other threads cannot continue running.