Request::create is not working in EventSubscriber service class
You forgot to assign the value returned from Request::create() to a variable, and the rest of the code. The code shown in that documentation page, merged with the code shown in one of its comments is the following.
$request = \Drupal::service('request_stack');
$current_request = $request-&gt;getCurrentRequest();
$sub_request = Request::create('/my-url', 'GET', $current_request-&gt;query-&gt;all(), $current_request-&gt;cookies-&gt;all(), array(), $current_request-&gt;server-&gt;all());
return Drupal::service('http_kernel')-&gt;handle($subrequest, HttpKernelInterface::SUB_REQUEST);

Since you want to write code to redirect users to a different page, the equivalent of what you would write in Drupal 7 hook_init(), check also hook_init() removed; it contains example code for that case.
namespace Drupal\mymodule\EventSubscriber;

use Symfony\Component\HttpFoundation\RedirectResponse;
use Symfony\Component\HttpKernel\KernelEvents;
use Symfony\Component\HttpKernel\Event\GetResponseEvent;
use Symfony\Component\EventDispatcher\EventSubscriberInterface;

class MymoduleSubscriber implements EventSubscriberInterface {
  public function checkForRedirection(GetResponseEvent $event) {
    if ($event-&gt;getRequest()-&gt;query-&gt;get('redirect-me')) {
      $event-&gt;setResponse(new RedirectResponse('http://example.com/'));
    }
  }

  /**
   * {@inheritdoc}
   */
  static function getSubscribedEvents() {
    $events[KernelEvents::REQUEST][] = array('checkForRedirection');
    return $events;
  }
}

See also the LocalRedirectResponse class.
The event subscriber for the example is described with the following, in mymodule.services.yaml.
services:
  mymodule_event_subscriber:
    class: Drupal\mymodule\EventSubscriber\MymoduleSubscriber
    tags:
      - {name: event_subscriber}