diff --git a/pandas/core/indexes/datetimes.py b/pandas/core/indexes/datetimes.py
index ec5c20d341b50..bec26ef72d63a 100644
--- a/pandas/core/indexes/datetimes.py
+++ b/pandas/core/indexes/datetimes.py
@@ -1251,8 +1251,7 @@ def __iter__(self):
             converted = libts.ints_to_pydatetime(data[start_i:end_i],
                                                  tz=self.tz, freq=self.freq,
                                                  box="timestamp")
-            for v in converted:
-                yield v
+            return iter(converted)
 
     def _wrap_union_result(self, other, result):
         name = self.name if self.name == other.name else None