This error (CS0009 with mono compiler) is quite generic and means "something wrong" with given assembly, so quite hard to debug. One way to proceed is indeed compile under mono. If you download their source code (https://github.com/pythonnet) you will find instructions on how to do that (look at pythonnet\src\monoclr\README.txt also).
However, depending on your goals, you can consider using IronPython instead, which is officially supported by mono and runs out of the box. Example below assumes you downloaded zip of IronPython and extracted it somewhere:
scriptcs -modules mono
scriptcs (ctrl-c to exit or :help for help)
> #r "G:\dev_tools\IronPython-2.7.5\IronPython-2.7.5\IronPython.dll"
> #r "G:\dev_tools\IronPython-2.7.5\IronPython-2.7.5\Microsoft.Dynamic.dll"
> #r "G:\dev_tools\IronPython-2.7.5\IronPython-2.7.5\Microsoft.Scripting.dll"
> using System;
> using System.IO;
> using IronPython.Hosting;
> using Microsoft.Scripting;
> using Microsoft.Scripting;
> using Microsoft.Scripting.Hosting;
> string script = "print 'hello world'";
> var engine = Python.CreateEngine();
> var scope = engine.CreateScope();
> var source = engine.CreateScriptSourceFromString(script, SourceCodeKind.Statements);
> var compiled = source.Compile();
> var result = compiled.Execute(scope);
hello world
>