Actually, about anything that airs on French TV has captions for the deaf and hard of hearing, by law . However, I've never seen them available for download anywhere. To make matters worse, French DVDs practically never overoffer French subtitles.
The few French subtitles you'll find online are generally of poor quality and don't match the text very well. The only exception I've found is the TV show Braquo, which has excellent French subtitles.