re.findall finds all the occurrence of the regex in a string and return in a list. Here, you are using a list of strings, you need this to use re.findall
Note - If the regex fails, an empty list is returned.
import re, sys
f = open('picklee', 'r')
lines = f.readlines()
regex = re.compile(r'[A-Z]+')
for line in lines:
print (re.findall(regex, line))