I used to compile it on Ubuntu 10.04, you shouldn't have an issue.
Take a look on this chapter here, it lists all the dependencies for compiling the library, you should at least have libaio(64) installed, and the proper libraries. If that doesn't solve your issue, then install the develoment packages and do the compilation procedure what should be fairly quick:
Same issue here - investigating ...
hornetq-2.2.2.Final$ ldd ./bin/libHornetQAIO32.so
linux-gate.so.1 => (0x00265000)
libaio.so.1 => /lib/libaio.so.1 (0x005a0000)
libstdc++.so.6 => /usr/lib/libstdc++.so.6 (0x00110000)
libm.so.6 => /lib/tls/i686/cmov/libm.so.6 (0x00c06000)
libc.so.6 => /lib/tls/i686/cmov/libc.so.6 (0x003c9000)
libgcc_s.so.1 => /lib/libgcc_s.so.1 (0x00aa3000)
So the aio shared library is being picked up, but I still get the warning message.
This warning is also issued when the HornetQ native shared library can not be loaded. In my case, I needed HornetQAIO32.so.
So you have the standard choices, LD_LIBARY_PATH on Linux, etc.
Or in your server.log, look for java.library.path. Either put the location for the shared library on in a directory that is already on the path, or add the HornetQ distribution bin directory to the java.library.path
On Ubuntu 14.04 start the app with: -Djava.library.path=/lib/x86_64-linux-gnu
and don't forget to install it: sudo apt-get install libaio1