I am not sure why this happens and I never explicitly abort threads, so it's a bit of a surprise. But I log Exceptions and I am seeing:
System.Threading.ThreadAbortException - Thread was being aborted.
If you spawn threads in Application_Start, they will still be executing in the application pool's AppDomain. If an application is idle for some time (meaning that no requests are coming in), or certain other conditions are met, ASP.NET will recycle the entire appdomain. When that happens, any threads that you started from that AppDomain, including those from Application_Start, will be aborted.
Lots more on application pools and recycling in this question: What exactly is Appdomain recycling
If you are trying to run a long-running process within IIS/ASP.NET, the short answer is usually "Don't". That's what Windows Services are for.