MySQL 'generator' not closing connections

I have the following function which is leaving connections open but I can't figure out why. The Cursor class creates a python-generator type function, allowing me to iterate over millions of rows. connection=MySQLdb.connect("", "", "", "", cursorclass = MySQLdb.cursors.SSCursor) cursor=connection.cursor() cursor.execute("select id, ...", (profile_id, ...)) try: for row in cursor.fetchall(): yield row except: pass finally: connection.close() Where am I going wrong?