Either you need to mark the $returnn variable as shared between threads so changes are visible to other threads as well or, which is the better way in my eyes, return the result value in the code that runs inside the thread you spawn and use join() afterwards to get the result.

use strict;
use warnings;
use threads;

my $thread = threads->create(sub {
    sleep 3;
    return "bla ble bli";
});

print "Result: ", $thead->join(), "\n";
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Also take a look at the perlthrtut document.

Cheers, Flo

#!/usr/bin/perl
use warnings;
use threads;
use strict;

$|=1; #turn off buffering 

my $returnn = "";

my $thread = threads->new(sub {
        print "Run the thread! Variable should be set\n";
        sleep(3);
        $returnn = "bla ble bli";
});

my $result = $thread->join;

print $result,"\n";
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There are other alternatives,i if you want to detect when the thread finishes, using threads::shared. Here I also detach the thread, so you don't need to join it.

#!/usr/bin/perl
use warnings;
use threads;
use threads::shared;
use strict;

$|=1; #turn off buffering 

my $returnn : shared; #declare as shared before setting value 
$returnn = '';

my $thread = threads->new(sub {
        print "Run the thread! Variable should be set\n";
        sleep(3);
        $returnn = "bla ble bli";
})->detach();

while(1){
  if($returnn eq ''){
       print "No return yet\n";
       sleep 1;
   }else{
   print "return->$returnn\n";
   last;
   }
}

print "Hit enter to exit\n";
<>;
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Thanks a lot all of you. Now it works. :DDDDDD =*****

However.... your question prompted me to have a look at perldoc threads, in which I found:

It is very important to note that variables are not shared
 between threads, all variables are per default thread local. 
 To use shared variables one must use threads::shared.
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use threads::shared;
share($returnn);
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Doesn't work at all... :(
Doesn't work at all... :(
Doesn't work at all... :(
Run the thread! Variable should be set
It works!
It works!
It works!
...etc
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Cheers,
Darren :)