DBI + Text::CSV_XS + PerlIO::gzip =>

use DBI;
use PerlIO::gzip;

my $sth = $dbh->prepare ("select * from table");
   $sth->execute;
my $csv = Text::CSV_XS->new ({ binary => 1, auto_diag => 1 });
open my $fh, ">:gzip", "output.csv.gz" or die "output.csv.gz: $!";
while (my $row = $sth->fetch) {
    $csv->print ($fh, $row);
    }
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If needed add the :encoding(utf8) layer