I noticed that the future defined by asyncio.gather(sleep) is in a "pending" state immediately after the asyncio.TimeoutError.

One workaround is to wait for the cancellation to finish:

    @asyncio.coroutine
    def main():
        sleep = asyncio.sleep(0.2)
        future = asyncio.gather(sleep)
        try:
            yield from asyncio.wait_for(future, timeout=0.1)
        except asyncio.TimeoutError:
            print(f'future: {future}')
            try:
                yield from future
            except asyncio.CancelledError:
                print(f'future: {future}')
        yield from asyncio.sleep(0.1)

    asyncio.get_event_loop().run_until_complete(main())

Outputs:

    future: <_GatheringFuture pending>
    future: <_GatheringFuture finished exception=CancelledError()>

Another option is to pass return_exceptions=True to gather(). This appears to make the log messages you were concerned about go away:

    future: <_GatheringFuture pending>