Streaming with num_workers != 0
I can confirm that I was able to reproduce the bug. This seems odd given that #3423 reports duplicate data retrieval when `num_workers` and `streaming` are used together, which is obviously different from what is reported here.  Any update? A possible solution is to have multiple arrow files as shards, and handle them like what webdatasets does.
![image](https://user-images.githubusercontent.com/11533479/148176637-72746b2c-c122-47aa-bbfe-224b13ee9a71.png)

Pytorch's new dataset RFC is supporting sharding now, which may helps avoid duplicate data under streaming mode. (https://github.com/pytorch/pytorch/blob/master/torch/utils/data/datapipes/iter/grouping.py#L13)
 Hi ! Thanks for the insights :) Note that in streaming mode there're usually no arrow files. The data are streamed from TAR, ZIP, text, etc. files directly from the web. Though for sharded datasets we can definitely adopt a similar strategy !
## Describe the bug
When using dataset streaming with pytorch DataLoader, the setting num_workers to anything other than 0 causes the code to freeze forever before yielding the first batch.

The code owner is likely @lhoestq 

## Steps to reproduce the bug

For your convenience, we've prepped a colab notebook that reproduces the bug
https://colab.research.google.com/drive/1Mgl0oTZSNIE3UeGl_oX9wPCOIxRg19h1?usp=sharing
```python
!pip install datasets==1.14.0

should_freeze_forever = True
# ^-- set this to True in order to freeze forever, set to False in order to work normally

import torch
from datasets import load_dataset

data = load_dataset("oscar", "unshuffled_deduplicated_bn", split="train", streaming=True)
data = data.map(lambda x: {"text": x["text"], "orig": f"oscar[{x['id']}]"}, batched=True)
data = data.shuffle(100, seed=1337)

data = data.with_format("torch")
loader = torch.utils.data.DataLoader(data, batch_size=2, num_workers=2 if should_freeze_forever else 0)

# v-- the code should freeze forever at this line
for i, row in enumerate(loader):
  print(row)
  if i > 10: break
print("DONE!")
```

## Expected results
The code should not freeze forever with num_workers=2

## Actual results
The code freezes forever with num_workers=2

## Environment info
- `datasets` version: 1.14.0 (also found in previous versions)
- Platform: google colab (also locally)
- Python version: 3.7, (also 3.8)
- PyArrow version: 3.0.0

