You are most likely not compiling Python with SSL/TLS support – this is likely because you don’t have the SSL development dependencies installed on your system.
Install the following dependency, and then re-configure and re-compile Python 3.5.
Ubuntu
apt-get install libssl-dev
In addition it is recommended to install the following.
apt-get install make build-essential libssl-dev zlib1g-dev libbz2-dev libsqlite3-dev
CentOS
yum install openssl-devel
In addition it is recommended to install the following.
yum install zlib-devel bzip2-devel sqlite sqlite-devel openssl-devel