Part of the OS X 10.11/El Capitan changes is something called [System Integrity Protection](https://en.wikipedia.org/wiki/System_Integrity_Protection) or "SIP".
SIP prevents you from writing to many system directories such as `/usr`, `/System`&`/bin`, regardless of whether or not you are root. The Apple keynote is [here](https://developer.apple.com/videos/wwdc/2015/?id=706) if you'd like to learn more. As noted in the keynote, Apple is leaving `/usr/local` open for developers to use, so Homebrew can still be used as expected.
One of the implications of SIP was that you could not simply create `/usr/local` if you had removed it. This issue was fixed with the `com.apple.pkg.SystemIntegrityProtectionConfig.14U2076` update.