More informations:
http://www.openssl.org/docs/ssl/SSL_shutdown.html
http://rt.openssl.org/Ticket/Display.html?user=guest&pass=guest&id=1891

Extract of the manual page:

 
 If the underlying BIO is non-blocking, SSL_shutdown() will also return when the underlying BIO could not satisfy the needs of SSL_shutdown() to continue the handshake. In this case a call to SSL_get_error() with the return value of SSL_shutdown() will yield SSL_ERROR_WANT_READ or SSL_ERROR_WANT_WRITE. ***The calling process then must repeat the call after taking appropriate action to satisfy the needs of SSL_shutdown().*** The action depends on the underlying BIO. When using a non-blocking socket, nothing is to be done, but select() can be used to check for the required condition. When using a buffering BIO, like a BIO pair, data must be written into or retrieved out of the BIO before being able to continue.