I thought you need a loop surrounding the die, but even that one complains instead of leaving the surrounding loop:

#!perl
use 5.020;

$SIG{__DIE__}= sub { next };
for (1..2) {
    say $_;
    die;
}
say "done";

__END__
Can't "next" outside a loop block at tmp.pl line 3.
[download]

I remember that goto/next/last were mildly revamped to eliminate jumping into deeper blocks, and maybe this part of the documentation was not updated there...