diff --git a/homeassistant/components/knx/climate.py b/homeassistant/components/knx/climate.py
index 5690722ef2b..9820a8ff5e3 100644
--- a/homeassistant/components/knx/climate.py
+++ b/homeassistant/components/knx/climate.py
@@ -288,9 +288,3 @@ class KNXClimate(KnxEntity, ClimateEntity):
         await super().async_added_to_hass()
         if self._device.mode is not None:
             self._device.mode.register_device_updated_cb(self.after_update_callback)
-
-    async def async_will_remove_from_hass(self) -> None:
-        """Disconnect device object when removed."""
-        await super().async_will_remove_from_hass()
-        if self._device.mode is not None:
-            self._device.mode.unregister_device_updated_cb(self.after_update_callback)
diff --git a/homeassistant/components/knx/knx_entity.py b/homeassistant/components/knx/knx_entity.py
index 5f2e14d1466..fff7f9b9f4f 100644
--- a/homeassistant/components/knx/knx_entity.py
+++ b/homeassistant/components/knx/knx_entity.py
@@ -45,4 +45,5 @@ class KnxEntity(Entity):
 
     async def async_will_remove_from_hass(self) -> None:
         """Disconnect device object when removed."""
-        self._device.unregister_device_updated_cb(self.after_update_callback)
+        # will also remove all callbacks
+        self._device.shutdown()
diff --git a/homeassistant/components/knx/manifest.json b/homeassistant/components/knx/manifest.json
index 604821ae275..0fdabcec9fb 100644
--- a/homeassistant/components/knx/manifest.json
+++ b/homeassistant/components/knx/manifest.json
@@ -3,7 +3,7 @@
   "name": "KNX",
   "config_flow": true,
   "documentation": "https://www.home-assistant.io/integrations/knx",
-  "requirements": ["xknx==0.20.1"],
+  "requirements": ["xknx==0.20.2"],
   "codeowners": ["@Julius2342", "@farmio", "@marvin-w"],
   "quality_scale": "silver",
   "iot_class": "local_push",
diff --git a/requirements_all.txt b/requirements_all.txt
index f27030f4c97..3e86626bc51 100644
--- a/requirements_all.txt
+++ b/requirements_all.txt
@@ -2438,7 +2438,7 @@ xbox-webapi==2.0.11
 xboxapi==2.0.1
 
 # homeassistant.components.knx
-xknx==0.20.1
+xknx==0.20.2
 
 # homeassistant.components.bluesound
 # homeassistant.components.fritz
diff --git a/requirements_test_all.txt b/requirements_test_all.txt
index d410601c378..3a2da5cf07a 100644
--- a/requirements_test_all.txt
+++ b/requirements_test_all.txt
@@ -1578,7 +1578,7 @@ wolf_smartset==0.1.11
 xbox-webapi==2.0.11
 
 # homeassistant.components.knx
-xknx==0.20.1
+xknx==0.20.2
 
 # homeassistant.components.bluesound
 # homeassistant.components.fritz
diff --git a/tests/components/knx/test_climate.py b/tests/components/knx/test_climate.py
index c77e9c58398..50daa8b6951 100644
--- a/tests/components/knx/test_climate.py
+++ b/tests/components/knx/test_climate.py
@@ -158,9 +158,8 @@ async def test_climate_preset_mode(hass: HomeAssistant, knx: KNXTestKit):
     er.async_remove("climate.test")
     await hass.async_block_till_done()
 
-    assert len(knx.xknx.devices) == 2
-    assert len(knx.xknx.devices[0].device_updated_cbs) == 1
-    assert len(knx.xknx.devices[1].device_updated_cbs) == 1
+    # If we remove the entity the underlying devices should disappear too
+    assert len(knx.xknx.devices) == 0
 
 
 async def test_update_entity(hass: HomeAssistant, knx: KNXTestKit):