But since of security reasons I don't want to use sudo

Well, then don't. What's stopping you running su -c cpan, configuring it, and thereafter installing all modules with su -c "cpan Foo::Bar"?

I tried to run cpan as root ... I have to configure it all the time every time I want to use it

Then you have a separate problem. Whether you su -c or sudo, what's run is run with uid 0. It sounds like CPAN isn't saving its config in root's home dir properly, so it asks to be reconfigured each time.