This is a WebForms-specific problem and does not occur in ASP.NET MVC, so I've added the correct tag to the question.
Translated from here :
The default is to call the Redirect
overload with the endResponse=false
parameter and tell IIS to complete the request immediately as soon as the method finishes.
Response.Redirect(url, endResponse: false);
Context.ApplicationInstance.CompleteRequest();
This post blog by Thomas Marquardt explains this problem and also how to do a redirect within a Application_Error
handler.