In the documentation, at page :
- https://docs.python.org/3.6/library/socketserver.html
- Section 21.21.4.1

In the server side code :
if __name__ == "__main__":
    HOST, PORT = "localhost", 9999

    # Create the server, binding to localhost on port 9999
    with socketserver.TCPServer((HOST, PORT), MyTCPHandler) as server:
    ...

We got an error line 24 :     
with socketserver.TCPServer((HOST, PORT), MyTCPHandler) as server:
AttributeError: __exit__

socketserver.TCPServer object has no __exit__() method and can not be used in 'with' statement.

Proposed correction :
server = socketserver.TCPServer((HOST, PORT), MyTCPHandler)
with server:
    ...

Correction of my previous correction :
server = socketserver.TCPServer((HOST, PORT), MyTCPHandler)

'with' statement can not be used...

In what environment are you trying this?  The example works for me (on a current macOS) system.

Running on Debian Etch
Ok, my python3 was broken and links to python3.5.3
All my apologizes