$! is a special global variable that you shouldn't be modifying yourself. Take a look at perlvar - Error Variables; in particular, the section describing when $! is meaningful and meaningless.

The first thing I'd do would be to move the error handling code into the module by changing the if statement to:

    if (! $self->loaddata()) {
        die "Error loading data!";
    }
    return $self;
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Now users of your module don't need to type  or die "$!" after every call to the constructor.
( Side issue: your hard-coded undef will evaluate to false but so will 0 (zero) and '' (empty string) - using defined will provide a more robust solution. )

Your loaddata() routine may be performing operations which could also raise fatal exceptions, such as opening a file, connecting to a database, and so on. You can trap these errors with eval like this:

    eval { $self->loaddata() };
    if ($@) {
        die "Error loading data! Reason: $@";
    }
    return $self;
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You may want to use croak instead of die - see Carp. The first sentence of the description: "The Carp routines are useful in your own modules because they act like die() or warn(), but with a message which is more likely to be useful to a user of your module.".

One final point related to the use of bless in your code. You have the single-argument form (bless $self); the two-argument form (bless $self => $class) is preferred.