Backslash the first colon within double quotes. Also, after eval, check for $@, not $!. E.g.:

eval "require Foo\::$_" || die $@;
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Update: On closer inspection, the lack of backslash is not a problem (I was thinking of pitfalls like "$foo::$bar"; but do check for $@ after eval!). FWIW, your code works fine for me.

# Foo/Quux.pm
package Foo::Quux;
print 'Loading ', __PACKAGE__, "\n";
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use strict;
use warnings;

for ( 'Quux' ) {
  eval "require Foo::$_" || die $@;
}
__END__
Loading Foo::Quux
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