It's a built-in error message. Read perldoc perlvars and read the section on Error Variables. Its says:

 $EXTENDED_OS_ERROR
       $^E     Error information specific to the current operating system. At the moment, this differs from $! under only VMS, OS/2, and
               Win32 (and for MacPerl). On all other platforms, $^E is always just the same as $!.

               Under VMS, $^E provides the VMS status value from the last system error. This is more specific information about the last
               system error than that provided by $!. This is particularly important when $!  is set to EVMSERR.

               Under OS/2, $^E is set to the error code of the last call to OS/2 API either via CRT, or directly from perl.

               Under Win32, $^E always returns the last error information reported by the Win32 call "GetLastError()" which describes the
               last error from within the Win32 API. Most Win32-specific code will report errors via $^E. ANSI C and Unix-like calls set
               "errno" and so most portable Perl code will report errors via $!.

               Caveats mentioned in the description of $! generally apply to $^E, also.

               This variable was added in Perl 5.003.

               Mnemonic: Extra error explanation.