Ferries are considered part of the route.
Any other examples of this?
CT 148 and CT 160, although those ferries have ceased operation due to budget cuts, leaving both routes discontinuous.
Any number of rural northern routes in Canada.
The case of US 9 is complicated by the fact that the ferry crosses a state line, and the ferry is not operated by either DOT, so neither state has reason to internally consider the route to continue past the dock.
US 10 is officially considered to be two separate routes, although the ferry connecting them across Lake Michigan is seasonal.
EDIT: To answer Kevin's question, NY 114 travels from Greenport down to East Hampton, via Shelter Island which is only accessible by ferry on either end. I drove it this past weekend. There is an error US 114 shield on Shelter Island.