"wheel not supported" for pip install

I am getting the same error

Output of uname -a

Linux billy.local 3.13.0-66-generic #108-Ubuntu SMP Wed Oct 7 15:20:27 UTC 2015 x86_64 x86_64 x86_64 GNU/Linux

Output of lsb_release -a

No LSB modules are available.
Distributor ID: Ubuntu
Description: Ubuntu 14.04.4 LTS
Release: 14.04
Codename: trusty