atexit module not working when stopped with vsCode

Question

I am coding a discord bot in discord.py. I want it to change the role of the bot to show it's offline when the code is stopped. Here's the relevant code:

import atexit, signal

class MyClient(discord.Client):
    async def exit_handler(self):
        print("stopped!")
        guild = self.get_guild(SERVER_ID)
        role = utils.get(guild.roles, name="Bot Offline")
        member = guild.get_member(BOT_USER_ID)
        await member.add_roles(role)

atexit.register(client.exit_handler)
signal.signal(signal.SIGTERM, client.exit_handler)
signal.signal(signal.SIGINT, client.exit_handler)

exit_handler isn't running when stopped with vsCode. I did not get an error message. I Tried running it in IDLE as well.