First off allocation failure (typically indicated by bad_alloc exception in C++ code, or nullptr in C style code) does not mean that the system (or even the process) as a whole is out of memory.
It just means that this particular allocator could not satisfy the allocation request. The allocator could have "ulimit" or such limit that is completely independent from actual process/system limitations.
Secondarily what reason is there to make an allocation failure any different than any other resource allocation failure?
A normal structure for a program is to catch these exceptions at a higher level in the stack close to some logical entry point, such as thread entry point, UI action handler etc. where they can be understood and possibly shown to the user or logged or whatever. It shouldn't really matter if the failure is about failing to allocate socket or failing to allocate memory.
You could make the case that if the system is out of memory the exception propagation itself is going to fail. Maybe..but IMHO on the code path that is taken when stack is unwound due to exception you should only release resources not allocate more anyway.