Given a continuous time LTI system with impulse response $h(t)$ and determined with the transform $\mathcal{T}\{\cdot\}$, we define an input/output relationship as follows:
$$ y(t) = \mathcal{T}\{ x(t) \} $$ which can be evaluated based on the convolution integral as: $$y(t) = \mathcal{T}\{ x(t) \} = x(t) \star h(t) = \int_{-\infty}^{\infty} h(\tau) x(t-\tau) d\tau $$
Now we call a signal (function) $x(t)$ as an eigenfunction of such a system if $$ y(t) = \mathcal{T}\{ x(t) \} = K_x x(t)$$
Where $K_x$ is a complex constant (the eigenvalue corresponding to the eigenfunction) dependent on the system and input parameters. Note that the output $y(t)$ must be equal to the input waveform, scaled by K, for all $t$.
From this definition point of view, lets consider whether $x(t) = e^{j\omega_0 t}$ is an eigenfunction of LTI systems in general or not?
$$y(t) = \mathcal{T}\{ e^{j\omega_0 t} \} = \int_{-\infty}^{\infty} h(\tau) e^{j \omega_0 (t-\tau)} d\tau = e^{j \omega_0 t} \left( \int_{-\infty}^{\infty} h(\tau) e^{-j \omega_0 \tau} d\tau \right) = K \cdot e^{j \omega_0 t} $$
Where the complex constant $K$ (the eigenvalue) is recognized as the continuous-time Fourier transform, $H(\omega)$ evaluated at the frequency $\omega_0$, of the impulse response $h(t)$ of the system, which is also called as the Frequency response. Expressing $K$ as $K=H(\omega_0) = |H(\omega_0)| e^{j \phi_0}$ we can rewrite the output as $y(t) = K e^{j\omega_0 t} = |H(\omega_0)| e^{j \phi_0} e^{j\omega_0 t} = |H(\omega_0)| e^{j\omega_0 (t + \phi / \omega_0)} = |H(\omega_0)| e^{j\omega_0 (t - t_0)} $ where $t_0 = - \phi/\omega_0$.
We can show the relation as $$x(t) \longleftrightarrow |H(\omega_0)| e^{j\phi_0} x(t) $$
Therefore we conclude that $x(t)=e^{j\omega t}$ in general is an eigenfunction of arbitrary LTI systems.
What about the function $x(t)=e^{j \omega_1 t} + e^{j \omega_2 t}$ ? Using linearity property of LTI systems we can show that the respective outputs for each added term will be $ y_1(t) = |H(w_1)| e^{j\phi_1} e^{j\omega_1 t}$ and $ y_2(t) = |H(w_2)| e^{j\phi_2} e^{j\omega_2 t}$ therefore we have $$ y(t) = y_1(t) + y_2(t) = |H(w_1)| e^{j\phi_1} e^{j\omega_1 t} + |H(w_2)| e^{j\phi_2} e^{j\omega_2 t} = K_1 e^{j \omega_1 t} + K_2 e^{j \omega_2 t} \neq K \left( e^{j \omega_1 t} + e^{j \omega_2 t} \right) $$
Hence unless we have $K = K_1 = K_2$, the signal $x(t)=e^{j \omega_1 t} + e^{j \omega_2 t}$ is not an eigenfunction of LTI systems in general.
Finally note that for the signal $x(t)=\cos(w_0 t)$ there exist LTI systems having the property that their impulse responses, $h(t)$, are real and even will accept them as eigenfunctions, but not every LTI in general will accept $\cos(w_0 t)$ as an eigenfunction, hence $\cos(w_0 t)$ is not an eigenfunction of LTI systems in general. On the other hand $e^{j \omega_0 t}$ or $e^{s t}$ with complex $s$ in general are eigenfunctions of every LTI system.