Seems to me your main block should look more like:

#!/usr/bin/perl -w
use strict;

my @main  = &open_file_main  ();
my @annot = &open_file_annot ();
open OUTPUT, '>', 'output.txt' or die "Cannot open $!";

# loop through the main data file
foreach my $md (@main) {
    chomp $md;

    my ($main_chrom, $winl, $winr) = split (/\s{2,}/, $md);

    foreach my $ad (@annot) {
        my ($an_chrom, undef, undef, $prol, $pror, undef, undef, undef
+, $mess) =
            split (/\s{2,}/, $ad);

        next unless $main_chrom eq $an_chrom;

        my (undef, undef, $name) = split (/\;/, $mess);

        next if $winr < $prol or $winl > $pror;

        print OUTPUT "$name\t $md\n";
        #last;
    }
}

exit;
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Note that there is no need for a sub to open the output file! If you need to do complicated stuff in the context of opening the output file, return the file handle from the sub - do not use a 'global' variable that is set as a side effect!