Response.Redirect has an overload accepting a boolean argument that indicates if the call to Response.Redirect should end the response. Calling the overload without this argument is the same as specifying true to indicate that the response should end.
Ending the reponse means that Response.End is called after the response has been modified to make the redirect happen, and Response.End throws an ThreadAbortException to terminate the current module.
Any code after a call to Response.Redirect is never called (unless you supply false for the extra argument). Actually, code in finally and certain catch handlers will execute, but you cannot swallow a ThreadAbortException.