It would require tons of memory.

#!/usr/bin/perl

use strict;
use warnings;

use Regexp::List qw( );

my $File1 = '...';
my $File2 = '...';
my $File3 = '...';

my $keep_re;
{
   open(my $fh_keys, '<', $File1)
      or die("Can't open key file \"$File1\": $!\n);

   $keep_re = Regexp::List
              ->new()
              ->list2re( map { my $s = $_;
                               chomp($s);
                               $s
                             }
                         <$fh_keys>
                       );
}

{
   open(my $fh_in, '<', $File2)
      or die("Can't open input file \"$File2\": $!\n");

   open(my fh_out, '>', $File3)
      or die("Can't create output file \"$File3\": $!\n");

   print $fh_out grep /^[^|]*\|$keep_re\|/, <$fh_in>;
}
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