I just ran into this. Check the Required Build Tools and External Libraries to make sure they’re all installed (via apt-get or equivalent). There were still a couple missing after I installed build-essential, including gfortran.
Otherwise, try doing what the error says, though it didn’t seem to help me:
*** Clean the OpenBLAS build with ‘make -C deps clean-openblas’. Rebuild with ‘make
OPENBLAS_USE_THREAD=0’ if OpenBLAS had trouble linking libpthread.so, and with
‘make OPENBLAS_TARGET_ARCH=NEHALEM’ if there were errors building SandyBridge
support. Both these options can also be used simultaneously. ***