What's wrong with using a sub? If you really don't want to, make it a block:

if ( ! unlink $file ) {
    warn "Can't unlink '$file': $!\n";
    push @unlink_failures, $file;
}
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If you want it shorter, maybe:

@unlink_failures = grep { ! unlink } @files_to_unlink;
warn "unlink failed for '$_'\n" for @unlink_failures;
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I guess that could be all one line (though I haven't tried this) this way:

warn "unlink failed for '$_'\n"
    for ( @unlink_failures
             = grep { ! unlink } @files_to_unlink );
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...but that's getting pretty convoluted (and it loses the error messages from $!). I recommend the block.