Written like someone who skipped reading the event handling overview. Use EVT_MOUSE_EVENTS or create a wxEvtHandler subclas...

use strict;
use warnings;
use Wx;

package MyApp;
use base 'Wx::App';

sub OnInit {
    my $frame = Wx::Frame->new( undef, -1, 'A Clickable Label', );
    my $label = Wx::StaticText->new( $frame, -1, "Click here to exit",
+ );

    my $sizer = Wx::BoxSizer->new( Wx::wxVERTICAL() );
    $frame->SetSizer($sizer);
    $sizer->Add($label);
    $sizer->Add( Wx::Button->new( $frame, -1, "Click here to exit $_",
+ ) )
      for 1 .. 3;

    Wx::Event::EVT_MOUSE_EVENTS(
        $_[0],
        sub {

#~ perl -MWx -le "print for sort keys %Wx::MouseEvent:: "

            my ( $s, $e ) = @_;

#~ LeftIsDown MiddleIsDown RightIsDown
            my $IsDown = join(
                '|',
                grep {
                    my $m = $_ . 'IsDown';
                    eval { $e->$m; }
                  } qw' Left Middle Right '
            );
            $IsDown = sprintf 'IsDown< %s >', $IsDown if length $IsDow
+n;

#~ AltDown ButtonDown CmdDown ControlDown LeftDown MetaDown MiddleDown
+ RightDown ShiftDown
            my $Down = join( '|',
                grep { my $m = $_ . 'Down'; $e->$m; }
                  qw' Alt  Button  Cmd  Control  Left  Meta  Middle  R
+ight  Shift '
            );
            $Down = sprintf 'Down< %s >', $Down if length $Down;

#~ ButtonDClick LeftDClick MiddleDClick RightDClick
            my $DClick = join( '|',
                grep { my $m = $_ . 'DClick'; $e->$m; }
                  qw' Button Left Middle Right ' );
            $DClick = sprintf 'DClick< %s >', $DClick if length $DClic
+k;

#~ IsButton  IsPageScroll
            my $Is = join( '|',
                grep { my $m = 'Is' . $_; $e->$m; } qw' Button  PageSc
+roll ' );
            $Is = sprintf 'Is< %s >', $Is if length $Is;

            my $Bool = join( '|',
                grep { my $m = $_; $e->$m; }
                  qw' Button Dragging Entering Leaving Moving  ' );
            $Bool = sprintf '< %s >', $Bool if length $Bool;

#~ GetButton GetLinesPerAction GetLogicalPosition GetPosition GetPosit
+ionXY GetWheelDelta GetWheelRotation GetX GetY

            my $Get = sprintf "Get< %s >", join(
                '|',
                map { my $m = 'Get' . $_; sprintf '%s( %s )', $_, $e->
+$m; }
                  qw' Button LinesPerAction ',

#~ LogicalPosition
#~ Usage: Wx::MouseEvent::GetLogicalPosition(THIS, dc)
#~ Position PositionXY
#~ X Y
                qw' WheelDelta WheelRotation '
            );

            my $GetEvent = $e->GetEventType;
            $GetEvent =
              TypeIntToStr($GetEvent) . "($GetEvent) " . $e->GetEventO
+bject;

            my $XY = sprintf "%4d,%4d ", $e->GetPositionXY;
            print $XY, join ' ', grep length, $Is, $IsDown, $DClick, $
+Down,
              $Bool, $Get, $GetEvent, "\n";

            $e->Skip;

            return;

        }
    );

    $frame->Show;
} ## end sub OnInit

MyApp->new->MainLoop;

BEGIN {
    my %str2con =
        map {
            my $dummy;
            my $con = Wx::constant( $_, 0, $dummy );
            $_ => $con;
          } grep /^wxEVT_/,
        keys %Wx::;
    
    my %con2str = reverse %str2con;
    sub TypeIntToStr { $con2str{ +shift } ||'' }
} ## end BEGIN

__END__
[download]

Thank you Anonymous Monk! The example is very educational. I didn't know it would be this easy to detect mouse events in Wx.

Wx::StaticText 'isa' Wx::Window, as a consequence will respond to window events.

use strict; use warnings;
use Wx;

package MyApp;
use base 'Wx::App';

use Wx qw{:everything};
use Wx::Event qw(EVT_LEFT_UP);

sub OnInit {
    my $frame = Wx::Frame->new(
        undef,
        -1,
        'A Clickable Label',
    );
    my $label = Wx::StaticText->new(
           $frame,
           -1,
           "Click here to exit",
    );

    my $label2 = Wx::StaticText->new(
           $frame,
           -1,
           "Click here to not exit :)",
    );

    my $bs = Wx::BoxSizer->new(wxVERTICAL);
    $bs->Add( $label,  0, wxALL, 5 );
    $bs->Add( $label2, 0, wxALL, 5 );
    $frame->SetSizer($bs);

    EVT_LEFT_UP $label, sub { $frame->Close };

    $frame->Show;
}

MyApp->new->MainLoop;
[download]

Regards, Stefan

Thank you Stefan. This works like charm :)