Deprecated is one thing, might become deprecated at some point in the future is another. If it suits your needs, I’d continuing using urlretrieve.
That said, you can use shutil.copyfileobj:
from urllib.request import urlopen
from shutil import copyfileobj
with urlopen(my_url) as in_stream, open('my_filename', 'wb') as out_file:
copyfileobj(in_stream, out_file)