Such nested loops can almost always be re-written to use hashes:

my @chains = qw(INPUT OUTPUT FORWARD);
# use @chains as hash keys for %chains_h;
my %chains_h; @chains_h{@chains} = (1) x @chains;
my @rules = open_file($rules);
for (@rules) {
   if ($chains_h{$_}) {
       print "found $_";
   }
}
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