diff --git a/python-package/xgboost/core.py b/python-package/xgboost/core.py
index 2db850ac03a7..0f481ddf1a61 100644
--- a/python-package/xgboost/core.py
+++ b/python-package/xgboost/core.py
@@ -353,7 +353,7 @@ def proxy(self) -> "_ProxyDMatrix":
     def _handle_exception(self, fn: Callable, dft_ret):
         try:
             return fn()
-        except Exception as e:
+        except Exception as e:  # pylint: disable=broad-except
             # Defer the exception in order to return 0 and stop the iteration.
             # Exception inside a ctype callback function has no effect except
             # for printing to stderr (doesn't stop the execution).