You're assuming function calls or other constructs are more readable and better programming. I don't agree. Having a clear clean-up or common return block is a good readable pattern that puts all the logic right there in one place.

Jumping out of the loop with a goto is also more readable than what Python has to offer. Refactoring things into functions just because you need to control the flow of the program is an anti pattern. Those functions add indirection and might never be reused. Why would you do that even if it was free performance wise?

This is why new low level languages offer alternatives to goto (defer, labelled break/continue, labelled switch/case) that cover most of the use cases.

Imo it's debatable if those are better and more readable than goto. Defer might be. Labelled break probably isn't although it doesn't matter that much.

Python meanwhile offers you adding more indirection, exceptions (wtf?) or flags (inefficient unrolling and additional noise instead of just goto ITEM_FOUND or something).