[PyGame] PyGame does not close when I press the close button

[Midnight_Sparkle3344]

# alien_invasion.py
import sys
import pygame

def run_game():
    # Initialize game and create a screen object.
    pygame.init()
    screen = pygame.display.set_mode((800,400))
    pygame.display.set_caption("Alien Invasion")

    # Set the background color.
    bg_color = (230, 230, 230)
    
    # Start the main loop for the game.
    while True:

        # Watch for keyboard and mouse events.
        for event in pygame.event.get():
            if event.type == pygame.QUIT:
                sys.exit()
        
        # Redraw the screen during each pass through the loop.
        screen.fill(bg_color)
            
        # Make the most recently drown screen visible.
        pygame.display.flip()

run_game()

I am using Python 3.4.4 with the appropriate PyGame version. While this code runs, for some reason the application does not close. I have to close the IDLE shell itself in order to close the window. I'm not sure why the game doesn't close.