MonoBehaviour.OnDestroy()
Description

This function is called when the MonoBehaviour will be destroyed.

OnDestroy will only be called on game objects that have previously been active.
	function OnDestroy () {
		print("Script was destroyed");
	}
using UnityEngine;
using System.Collections;

public class Example : MonoBehaviour {
    void OnDestroy() {
        print("Script was destroyed");
    }
}
import UnityEngine
import System.Collections

public class Example(MonoBehaviour):

	def OnDestroy() as void:
		print('Script was destroyed')

OnDestroy cannot be a co-routine.