This is just debugging message. You can switch that off by right clicking into the output window and uncheck Thread Exit Messages.
http://msdn.microsoft.com/en-us/library/bs4c1wda.aspx
In addition to program out from your application, the Output window
can display the information about:
Modules the debugger has loaded or unloaded.
Exceptions that are thrown.
Processes that exit.
Threads that exit.