Since I'm a big fan of both lexical filehandles, and the safer forms of piping open, here's a version that uses both of those:

use strict;
use warnings;

open my $infh, "-|", zcat => $myfile
  or die "Cannot open file: $myfile\n";

while (<$infh>) {
    print if /mymatch/;
}
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This avoids using a global filehandle, and would allow you to take the filename in as a command line argument, without worrying about escaping nasty characters. I think it's a pretty big benefit for a fairly small change in the code.