All of the statements in a finally clause must execute. For more information, see Exception Handling Statements and Exceptions and Exception Handling (C# Programming Guide).
The following sample generates CS0157:
// CS0157.cs using System; namespace MyNamespace { public class MyClass2 : Exception { } public class MyClass { public static void Main() { try { } finally { return; // CS0157, cannot leave finally clause } } } }