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