The error supplied doesn't agree with the code provided, but I get it too. I'm using an older version of Perl, though. I don't have a newer version for that system, so it could have been fixed since.

$ perl -e 'use warnings FATAL => qw(all); eval { open(CMD, "_bad_exe_ 
+a b c|") or die "open failed: $!\n" }; if($@){ die "$$: ERROR: $@" } 
+print "$$: HOW DID I GET HERE?\n"; while(<CMD>){}'
11089: ERROR: Can't exec "_bad_exe_": No such file or directory at -e 
+line 1.
11089: HOW DID I GET HERE?

$ perl -v
This is perl, v5.8.4 built for i386-linux-thread-multi
...
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Update: I added the PID to the error messages in case something went bad with the forking code.

Update: Interestingly, open dies instead of returning an error. Notice how "open failed" is not part of the output. Are there two bugs here?

ww@GIG:~$ perl -v

This is perl, v5.8.7 built for i486-linux-gnu-thread-multi
(with 1 registered patch, see perl -V for more detail)
[download]

OP's cut'n'pasted oneliner:

ww@GIG:~$ perl -e 'use warnings FATAL => qw(all); eval { open(CMD, "_b
+ad_e xe_ a b c|") or die "open failed: $!\n" }; if($@){ die "ERROR: $
+@" }; print "HOW  DID I GET HERE?\n"; while(<CMD>){}'
ERROR: Can't exec "_bad_exe_": No such file or directory at -e line 1.
HOW DID I GET HERE?
ww@GIG:~$
[download]