How to disconnect from elasticsearch-py client/connection-pool
Just for completeness as per thread linked in in the comments of the question.
Currently there is no way to close the connections or the client itself, partly because you are the first one to ask for it, we just rely on the garbage collector to close the socket when it cleans up the client.
As of 2018 the above is no longer correct, an explicit close method has been added to the the ConnectionPool.