As derby said, $self will only be populated with keys corresponding to any attributes which have beeen defined for the class (including those defined in any roles the class does).

You could define your role like this:

package DTF::Transfer;
use strict;
use warnings;
use Moose::Role;

has [qw/ input_line dl_base_dir report_file /] => (
   is => 'ro',
);

sub BUILD {}

after 'BUILD' => sub
{
    my $self = shift;
    die scalar(keys %$self);
};
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More importantly, you're making the mistake of treating $self like it's a hashref. It's not. (Actually it is by default, but you're supposed to pretend it's not. Let's pretend it's not...) Because it's not a hashref, keys %$self is meaningless. Instead you should access attributes via the accessors Moose generates:

after 'BUILD' => sub
{
    my $self = shift;

    printf STDERR "%s: %s\n", $_, $self->$_ for qw(
        input_line dl_base_dir report_file
    );
    die;
};
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Lastly, have you noticed that BUILD gets passed not one argument, but two?