In event subscriber, how to redirect if value doesnt exist?

Yes, this is a correct approach. You don't need an else statement. If you don't set a response the event propagation doesn't stop and event subscribers with a lower priority get a chance to set a response. The priority depends on $value. It's unclear in your question, but if it doesn't depend on anything Drupal specific then set a priority >300.

Best practice is to use a cacheable response and add any dependencies of $value to the response. If you don't have any then still use this response. It tells Drupal that you are fine with that it is cached how you want to redirect this path.

Example:

core/lib/Drupal/Core/EventSubscriber/RedirectLeadingSlashesSubscriber.php

<?php

namespace Drupal\Core\EventSubscriber;

use Drupal\Core\Cache\CacheableRedirectResponse;
use Symfony\Component\HttpKernel\Event\RequestEvent;
use Symfony\Component\HttpKernel\KernelEvents;
use Symfony\Component\EventDispatcher\EventSubscriberInterface;

/**
 * Redirects paths starting with multiple slashes to a single slash.
 */
class RedirectLeadingSlashesSubscriber implements EventSubscriberInterface {

  /**
   * Redirects paths starting with multiple slashes to a single slash.
   *
   * @param \Symfony\Component\HttpKernel\Event\RequestEvent $event
   *   The RequestEvent to process.
   */
  public function redirect(RequestEvent $event) {
    $request = $event->getRequest();
    // Get the requested path minus the base path.
    $path = $request->getPathInfo();

    // It is impossible to create a link or a route to a path starting with
    // multiple leading slashes. However if a form is added to the 404 page that
    // submits back to the same URI this presents an open redirect
    // vulnerability. Also, Drupal 7 renders the same page for
    // http://www.example.org/foo and http://www.example.org////foo.
    if (strpos($path, '//') === 0) {
      $path = '/' . ltrim($path, '/');
      $qs = $request->getQueryString();
      if ($qs) {
        $qs = '?' . $qs;
      }
      $event->setResponse(new CacheableRedirectResponse($request->getUriForPath($path) . $qs));
    }
  }

  /**
   * {@inheritdoc}
   */
  public static function getSubscribedEvents() {
    $events[KernelEvents::REQUEST][] = ['redirect', 1000];
    return $events;
  }

}

If $value is Drupal specific, for example you get it from an entity, use the default priority 0 and set the entity as cache dependency. In this case you need to set response headers to prevent that the browser is caching the redirect result for this path. Use LocalRedirectResponse for local or TrustedRedirectResponse for external URLs. See this great answer Disabling Page Cache for Redirect Response