my $DATA;
my @keys=qw(one two three);
#        ^--bug in your script I assume

# solution 1
eval "\$DATA->{" . join('}{',@keys) . "}= 'value';";


# solution 2
my $d= 'value';
foreach (reverse @keys) {
  my $x->{$_}=$d;
  $d= $x;
}
$DATA->{$keys[0]}= $d->{$keys[0]};