Python/GTK3: How to keep a window open on destroy?

Question

I'm trying to forbid the user to close the GTK Window.

import gi
gi.require_version('Gtk', '3.0')
from gi.repository import Gtk

def on_destroy(evt):
    print("Please don't close me") # <- works
    return False                   # <- doesn't work, the window closes
    # return True                  # <- same behaviour as False

win = Gtk.Window()
win.connect('destroy', on_destroy)
win.show_all()
Gtk.main()

The event is triggered, but I don't know how to interrupt it. Is destroy maybe too late and I need something like before_destroy?

Any idea? Thanks!