Using JFrame.EXIT_ON_CLOSE actually terminates the JVM (System.exit). All running threads will automatically be stopped.

If you want to perform some action when a JFrame is about to close, use a WindowListener.

JFrame frame = ...
frame.addWindowListener(new WindowAdapter() {
    @Override
    public void windowClosing(WindowEvent e) {
        // close sockets, etc
    }
});