diff --git a/swh/storage/retry.py b/swh/storage/retry.py
--- a/swh/storage/retry.py
+++ b/swh/storage/retry.py
@@ -43,6 +43,8 @@
         if isinstance(error, StorageArgumentException):
             # Exception is due to an invalid argument
             return False
+        elif isinstance(error, KeyboardInterrupt):
+            return False
         else:
             # Other exception
             module = getattr(error, "__module__", None)
diff --git a/swh/storage/tests/test_retry.py b/swh/storage/tests/test_retry.py
--- a/swh/storage/tests/test_retry.py
+++ b/swh/storage/tests/test_retry.py
@@ -817,3 +817,21 @@
         swh_storage.snapshot_add([sample_snap])
 
     assert mock_memory.call_count == 1
+
+
+def test_retrying_proxy_swh_storage_keyboardinterrupt(swh_storage, sample_data, mocker):
+    """Unfiltered errors are raising without retry
+
+    """
+    mock_memory = mocker.patch("swh.storage.in_memory.InMemoryStorage.content_add")
+    mock_memory.side_effect = KeyboardInterrupt()
+
+    sample_content = sample_data.content
+
+    content = swh_storage.content_get_data(sample_content.sha1)
+    assert content is None
+
+    with pytest.raises(KeyboardInterrupt):
+        swh_storage.content_add([sample_content])
+
+    assert mock_memory.call_count == 1