It works for me; that is to say that when I run it and press ctrl-c, it exits with "I got a INT".
We are going to need more information about the environment where you are testing this. Let's start with operating system, version of Perl, version of Term::ReadLine::Gnu and version of GNU Readline library version should be sufficient for now.
By the way, it's impolite to cross-post without saying you've cross-posted. http://stackoverflow.com/questions/13316232/perl-termreadlinegnu-signal-handling-difficulties