I've just seen it too. Using Indigo. Following the instructions in "OSGi in Practice".
Same thing here. I don't know of a solution yet, but I will come back if I find one.
EDIT: Well, OK, it doesn't help you. But you wanted to know if someone else got it, and now you know. I do, and I was also looking for a solution.
EDIT#2: I made some progress. I looked up the source in github. Bnd expects to find a project called "cnf" in the Workspace. Gooling that shows other people having issues with that cnf project, when not all their project are in the workspace directory itself. I also understand that Bnd should actually create that cnf project itself, so this is where the real problem is. It just doesn't get created for some reason.
EDIT3: OK. Got it now. The following link explains what cnf is:
Create a new Bnd OSGi project
So I just created an empty cnf directory in the Workspace, and it then "Make Bundle" worked, so that is what you need, an empty directory called cnf.