The book is wrong. Interrupting the thread before it sleeps will make the sleep() method throw an InterruptedException immediately.
Quote from Java Concurrency in Practice:
A good way to think about interruption is that it does not actually interrupt a running thread; it just requests that the thread interrupt itself at the next convenient opportunity. (These opportunities are called cancellation points.) Some methods, such as wait, sleep, and join, take such requests seriously, throwing an exception when they receive an interrupt request or encounter an already set interrupt status upon entry.
(emphasis mine)
In this particular example, using while(true)
would lead to the same effect. But in other cases, if the loop never calls an interruptible method, or if you want to exit as soon as possible, you'll have to regularly check if the thread is interrupted to be able to detect the interruption.