If you cleared all breakpoints on the target and "C"ontinued from the latest breakpoint (assuming that the target code didn't crash, etc.), I think you'll be safe: when running, kgdb won't be talking to your gdb anyway, since if I recall, it only handles the link when stopped (in a breakpoint or exception) awaiting for commands.
A few Ctrl-C in a fast sequence if needed to get control back in gdb, then "q", and that's it.
That's at least my experience when debugging ko's...
I suspect gdb is saying this because it doesn't realize that it is talking to a kgdb rather than to a remote gdb server. I don't imagine kgdb accepting to kill a kernel thread because the debugger was exited, anyway!
Hmmm, afterthought:
You're talking about kgdb 'lite', the one now part of the kernel tree, are you? Because that's the only one I have experience with...
PS on June, 3:
I had never seen the exact message you mentioned until I moved to the 2.6.32 kernel (as part of the migration of my dev and target machines to Lucid). And then, surprise, I ran into it too. Here, it seems to happen in hopeless situations (like a segfault or kgbd seemingly running away after missing a breakpoint or single step). The only cure I have found so far was to pkill ddd (gdb) on the dev machine and reboot the target. But the good news is that the kgdb in 2.6.32 seems to be quite more stable than the one in Karmic (2.6.31).