I am worried about multiple threads colliding, race condtions, in NET::FTP module.

Just create a new instance of Net:FTP in each thread. There should(untested) be no conflicts.

This untested pseudo-code might get you started:

use threads
use Thread::Queue
use Net::FTP

my $Q = new Thread::Queue;

sub downloader {
    my $ftp = Net::FTP->new("some.host.name", Debug => 0)
      or die "Cannot connect to some.host.name: $@";
    $ftp->login("anonymous",'-anonymous@')
      or die "Cannot login ", $ftp->message;
    $ftp->cwd("/pub")
      or die "Cannot change working directory ", $ftp->message; 

    while( my $file = $Q->dequeue ) {
          $ftp->get( $file );
          $ftp->delete( $file );
    }
    $ftp->quit
}

my @threads = map threads->create( \&downloader ), 1 .. $N;

my $ftp = Net::FTP->new("some.host.name", Debug => 0)
  or die "Cannot connect to some.host.name: $@";
$ftp->login("anonymous",'-anonymous@')
  or die "Cannot login ", $ftp->message;
$ftp->cwd("/pub")
  or die "Cannot change working directory ", $ftp->message; 

$Q->enqueue( $ftp->ls ) or die $!;
$ftp->quit;

$Q->enqueue( (undef) x $N );
$_->join for @threads;
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