El Capitan now protects certain system directories in "rootless" mode (a.k.a. System Integrity Protection). If you run the command ls -lO /System/Library/LaunchDaemons you'll see that the directories and files under there are now marked as "restricted."
You can disable rootless mode like this:
1.Reboot into recovery mode (reboot and hold down Cmd-R)
2.Open a terminal
3.Use this command: csrutil disable
4.Reboot and run the command that worked prior to El Capitan
5.Install Mono latest version.
When you're done, it is highly recommended that you re-enable SIP by following the same steps, but using csrutil enable in step 3.
I ran into a problem with the same root cause while trying to get pear/pecl modules and macports/homebrew apps installed. Those typically need to install files into /usr/include and /usr/lib, which are also now restricted.
Note: Previous answers around the Internet about this problem give you instructions for modifying NVRAM settings, but Apple stated that the NVRAM method would stop working with El Capitan's public release. The GM release has already disabled the NVRAM workaround, so this answer should get you what you need moving forward