That's because you are not returning a hash reference from your function. Within new, $self is a hash reference. When you return \$self, you return a reference to the hash reference, which is a scalar reference. See perlref or perlreftut. The following code works.

package Foo;

use strict;

use Data::Dumper;
use Exporter;

our ($VERSION,@ISA,@EXPORT,@EXPORT_OK);
$VERSION     = 0.99;
@ISA         = qw(Exporter);
@EXPORT      = @EXPORT_OK;
@EXPORT_OK   = qw(new test);

sub new(){
  my $self = {};
  $self->{data} = {};
  $self->{data}->{start_url} = "https://www.w.com/home.html";

  bless $self;
}

sub test(){
  my $self = shift;
#  print $self->{data}->{start_url};
#  print Dumper($self);
  print Dumper($self->{data});
}
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and

use strict;
use warnings;
use Foo;

my $obj = Foo->new();
$obj->test();
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