When you terminate the process, your operating system will clean up all the other threads for you.

To quote perlthrtut:

An action that terminates a process will terminate all running threads. die() and exit() have this property, and perl does an exit when the main thread exits, perhaps implicitly by falling off the end of your code, even if that's not what you want.

The rest of that section might also be relevant for you.

But when I am exiting the threads are still running I want to free all the space occupied by this threads and then exit from the script

When your main thread exits; any other threads will be killed and cleaned up automatically.

If you wish to suppress this oh so useful informational message:

C:\Downloaded\testp>perl -Mthreads -E"async{ sleep; }; say 'hi & bye';
hi & bye
Perl exited with active threads:
        1 running and unjoined
        0 finished and unjoined
        0 running and detached
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Just detach the threads:

C:\Downloaded\testp>perl -Mthreads -E"async{ sleep; }->detach; say 'hi
+ & bye';"
hi & bye
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Approach the problem this way:   the event just means, “you should not be asleep right now.”   (Not “please wake up.”)   The main-loop of the thread is driven by a set of shared flags which tell it what it should do next, one of the choices being “die now.”

while (1) {
  if (shared.die) {
    exit;
  } 
  elsif (shared.do_this) {
    do_this;
  }
  elsif (shared.do_that) {
    do_that;
  }
  ...
  else {
     wait_for_event();
  }
}
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The parent thread first sets one of the flags, then strobes the event to be sure that the child is not-asleep to respond to it.

You don’t need to invent these things from scratch.   Look at existing workhorses such as POE.