I do not think there is a built-in function for this. (This is what I thought after reading your Q, I just checked and could not find it in the documentation).
In any case, it's easy to collapse your own.
( - .. mpl , , - , - ( ) , , .)
import locale
locale.setlocale(locale.LC_ALL, 'en_US')
fnx = lambda x : locale.format("%d", x, grouping=True)
from matplotlib import pyplot as PLT
import numpy as NP
data = NP.random.randint(15000, 85000, 50).reshape(25, 2)
x, y = data[:,0], data[:,1]
fig = PLT.figure()
ax1 = fig.add_subplot(111)
ax1.plot(x, y, "ro")
default_xtick = range(20000, 100000, 10000)
new_xtick = map(fnx, default_xtick)
ax1.set_xticklabels(new_xtick)
PLT.show()