The documentation says:

If FILEHANDLE is an undefined scalar variable (or array or hash element) the variable is assigned a reference to a new anonymous filehandle

So this means that when you say open my $fh, ..., it is essentially the same as this:

my $fh = \*ANON;
open( $fh, "...");
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Since the anonymous filehandle is really created before the open, it will still exist even if the open fails...