Why invoke Thread.currentThread.interrupt() in a catch InterruptException block?

This is done to keep state.

When you catch the InterruptedException and swallow it, you essentially prevent any higher-level methods/thread groups from noticing the interrupt. Which may cause problems.

By calling Thread.currentThread().interrupt(), you set the interrupt flag of the thread, so higher-level interrupt handlers will notice it and can handle it appropriately.

Java Concurrency in Practice discusses this in more detail in Chapter 7.1.3: Responding to Interruption. Its rule is:

Only code that implements a thread's interruption policy may swallow an interruption request. General-purpose task and library code should never swallow interruption requests.

I think this code sample makes things a bit clear. The class which does the job :

public class InterruptedSleepingRunner implements Runnable {
    @Override
    public void run() {
        doAPseudoHeavyWeightJob();
    }

    private void doAPseudoHeavyWeightJob() {
        for (int i = 0; i < Integer.MAX_VALUE; i++) {
            // You are kidding me
            System.out.println(i + " " + i * 2);
            // Let me sleep <evil grin>
            if (Thread.currentThread().isInterrupted()) {
                System.out.println("Thread interrupted\n Exiting...");
                break;
            } else {
                sleepBabySleep();
            }
        }
    }

    protected void sleepBabySleep() {
        try {
            Thread.sleep(1000);
        } catch (InterruptedException e) {
            Thread.currentThread().interrupt();
        }
    }
}

The Main class:

public class InterruptedSleepingThreadMain {
    public static void main(String[] args) throws InterruptedException {
        Thread thread = new Thread(new InterruptedSleepingRunner());
        thread.start();
        // Giving 10 seconds to finish the job.
        Thread.sleep(10000);
        // Let me interrupt
        thread.interrupt();
    }
}

Try calling interrupt without setting the status back.