As far as I know, that's only a CLI behavior in both Windows and Linux - and the input line of a Perl script is not a C(ommand)L(ine)I(nterface). As kyle mentioned, Term::ReadLine will provide input history and other features; it's a pretty capable module.

Here's an example of how you might do something like what you're looking for:

#!/usr/bin/perl -w
use strict;
use Term::ReadLine;

my $term = new Term::ReadLine 'Yes/No';
my $OUT = $term -> OUT || \*STDOUT;
while ( my $answer = $term -> readline( "Yea or Nay? " ) ) {
    print $answer =~ /^yea$/i ? "Yup.\n" : "Dough!\n";
}
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