Boa Noite,
Tive o mesmo problema:
Solução é no gradle adicionar:
 javaCompileOptions {
            annotationProcessorOptions {
                arguments = [ eventBusIndex : 'br.com.alura.agenda.event.MyEventBusIndex' ]
            }
        }
e tambem
annotationProcessor 'org.greenrobot:eventbus-annotation-processor:3.0.1'
Completo:
apply plugin: 'com.android.application'
android {
    compileSdkVersion 24
    buildToolsVersion '25.0.2'
    defaultConfig {
        applicationId "br.com.alura.agenda"
        minSdkVersion 15
        targetSdkVersion 24
        versionCode 1
        versionName "1.0"
        javaCompileOptions {
            annotationProcessorOptions {
                arguments = [ eventBusIndex : 'br.com.alura.agenda.event.MyEventBusIndex' ]
            }
        }
    }
    buildTypes {
        release {
            minifyEnabled false
            proguardFiles getDefaultProguardFile('proguard-android.txt'), 'proguard-rules.pro'
        }
    }
    productFlavors {
    }
    packagingOptions {
        exclude("META-INF/LICENSE")
    }
}
dependencies {
    compile fileTree(include: ['*.jar'], dir: 'libs')
    compile 'com.android.support:appcompat-v7:24.0.0'
    compile 'com.android.support:cardview-v7:24.0.0'
    compile 'com.android.support:support-v4:24.0.0'
    compile 'com.google.android.gms:play-services:10.0.1'
    compile 'com.squareup.retrofit2:retrofit:2.3.0'
    compile 'com.squareup.retrofit2:converter-jackson:2.3.0'
    compile 'com.squareup.okhttp3:logging-interceptor:3.9.0'
    compile 'com.google.firebase:firebase-messaging:10.0.1'
    compile 'org.greenrobot:eventbus-annotation-processor:3.0.1'
    annotationProcessor 'org.greenrobot:eventbus-annotation-processor:3.0.1'
}
apply plugin: 'com.google.gms.google-services'
Encontrei a solução em http://greenrobot.org/eventbus/documentation/subscriber-index/