EJB 3.1 only provides cooperative async interupts; that is, the EJB can check if the client has called cancel. There is no way to get an actual Thread.interrupt even if Future.cancel(true) is called.
There is an open EJB specification issue (EJB_SPEC-73) to allow actual thread interrupts. This was discussed on the EJB 3.2 expert group (1, 2, 3, 4, 5, 6), but the discussion was eventually deferred to the next version of the EJB specification.