None of the prior answers worked for me. The instructions in this gist worked for me.
In short: You may be missing the xz libraries, in which case you can install them with Homebrew and then reinstall/rebuild the Python version from pyenv:
$ brew install xz
$ pyenv uninstall <desired-python-version>
$ pyenv install <desired-python-version>
Note: I only had this problem with the Python installed by pyenv, but not the Mac system Python or the conda python. It might be best to use the brewed python (brew install python) unless you have a specific need for pyenv (like needing more control over the python version/updating).