When I run coverage.py on the following script I get a message about measurements being wrong:
$ $ coverage run script.py
Coverage.py warning: Trace function changed, measurement is likely wrong: None
class MyThread (threading.Thread):
thr = MyThread()
The script does have full coverage in the report though.
This is using python 2.7.2 on MacOSX 10.7.2 and coverage.py 3.5.1. Python was installed using the binary installer on the python.org website.