after application close MS Visual C++ runtime library error occurs

Hello, I am using psycopg2 in windows app for example:
import psycopg2
import psycopg2.extras
self.con = psycopg2.connect("dbname= host= user= password= port=");
self.cur = self.con.cursor(cursor_factory=psycopg2.extras.DictCursor)

SELECT = "select something"
self.cur.execute(SELECT)

for row in self.cur:
...

self.cur.close()
self.con.close()

But when I click on exit button in application MS Visual C++ runtime
library error occurs: This application has requested the runtime to
terminate it in unusual way.
What am I doing wrong?