I had this same problem on my Ubuntu 14 box. Ended up creating symlinks to get around it. With eigen3 installed in /usr/local/include do the following:
cd /usr/local/include
sudo ln -sf eigen3/Eigen Eigen
sudo ln -sf eigen3/unsupported unsupported
You should now be able to include the headers by:
#include <Eigen/Dense>
#include <unsupported/Eigen/FFT>