sys.stderrを使う。

例1)

import sys
sys.stderr.write('Error occurred!')

例2)

import sys
print >> sys.stderr, 'Error occurred!'

http://docs.python.jp/2/library/sys.html#sys.stderr
http://stackoverflow.com/questions/5574702/how-to-print-to-stderr-in-python
https://sites.google.com/site/diveintopythonjp/home/10-sukuriputo-to-sutorimu/10-2-hyoujun-nyuuryoku-hyoujun-shutsuryoku-soshite-era