Just ran into this and I imagine my scenario is similar to what bkmeneguello and timja were getting.

If you have an exception thrown in a finally block it'll win out instead of the FlowInterruptedException

retry(5) {
    try {
        sh "do_something_slow"
    } finally {
        echo "Cleaning up"

        // Do something that raises an exception
        def x = 1/0
    }
}

You'll end up losing the abort exception and retrying again even though you aborted. Same thing with timeouts.

I'm also having the same issue as Bruno...

Apologies my issue looks different I'm catching the exception which interferes

Still now working.
Pipeline: Basic Steps 2.6
sample: Jenkinsfileoutput: console

Possibly should be extended to handle aborts coming from timeout, or perhaps any cause.

Code changed in jenkins
User: Jesse Glick
Path:
pom.xml
src/main/java/org/jenkinsci/plugins/workflow/steps/RetryStepExecution.java
src/test/java/org/jenkinsci/plugins/workflow/steps/RetryStepTest.java
http://jenkins-ci.org/commit/workflow-basic-steps-plugin/422295a5dbac5192e0320d916fb37838e3c24c87
Log:
[FIXED JENKINS-41276] Do not continue to retry when the failure is a user interruption.