Currently you can catch the Sublime Text exit by listening for the exit command as done by the MaxPane package:

class MaxPaneEvents(sublime_plugin.EventListener):
    def on_window_command(self, window, command_name, args):
        if command_name == "exit":
            # Un maximize all windows before exiting
            windows = sublime.windows()
            for w in windows:
                w.run_command("unmaximize_pane")

However this only works when the user exit the application with the exit command by going on the menu File -> Exit.

Related threads

1. Allow event hooks to prevent the event from being further propagated #821 Allow event hooks to prevent the event from being further propagated
2. Cloned views share the same settings object until ST is restarted #731 _ Cloned views share the same settings object until ST is restarted
3. Event handlers for cloned views get called with the wrong view object #1253 _ Event handlers for cloned views get called with the wrong view object
4. on event 'on_clone/on_new' view.window() does not exists.  #8 _ on event 'on_clone/on_new' view.window() does not exists.
5. on_load is not dispatched when opening a window or maybe plugin_loaded miss some listener at startup #5 on_load is not dispatched when opening a window or maybe plugin_loaded miss some listener at startup