Any ideas about what I'm doing wrong?

:) maybe you've got weird tar, run  tar --version and send a bug report, rt://cpan

Try use a different tar, o conf ...

Also, try  cpanp -i Chart::Gnuplot

Or try  curl -L http://cpanmin.us | perl - --self-upgrade

or  wget -O - http://cpanmin.us | perl - --self-upgrade