Let's check that domain port
First a slight style note (IMHO, of course). You called your function check_domain_format, but it's actually returning a modified string and you're using the result, not checking it. I'd go for a name like validate_domain_format


About it being slow:


Yes, multi-threading would help in checking multiple domains at once, but if that was the only problem you could just make a separate bash script to launch your python script with different parameters.
You said that you own the domains, so I'm assuming you have RAW socket capabilities. If that's the case, you can speed up your check by using a SYN check. You can have a look here , even if the question has been down-voted, it should give you the general idea. Here you can find that same check.
If you're doing this for educational purposes that's ok, otherwise nmap will most likely do a better job, give you more options and be faster (because SYN check is already implemented and you can also scan for UDP ports, for example).