warning : All projects referencing MyProject.csproj must install nuget package Microsoft.Bcl.Build

The answer provided by TheESJ is correct, however the wording wasn't clear to me. Since I cannot comment on the answer, I will provide more details here. Specifically, I was having this problem with an Azure project and the following workaround was required to make the warning go away:

When you double-click the warning in VisualStudio, you will be taken to the BclBuildValidateNugetPackageReferences target in the Microsoft.BclBuild.targets file. Above the actual target element, you should find a large comment block that talks about disabling the project reference checks. Since Azure projects cannot have any library references, it is impossible for those Azure projects to fulfill the requirements of this particular build target.

The solution? Disable reference checking from the Azure project since it is impossible to actually add a nuget package reference.

EXAMPLE

So, assume we have two projects: MyAzureProject.ccproj which references MyProject.csproj. Follow these steps:

1. Right-click on "MyAzureProject" in the Solution Explorer and select "Edit Project File."

2. Find the project reference to "MyProject." It should look something like:

   <ProjectReference Include="..\MyProject\MyProject.csproj">
     <Name>MyProject</Name>
     <Project>{1d99490e-d140-4897-9890-238e673a5864}</Project>
     ...
   </ProjectReference>
   

3. Add the following element inside of the ProjectReference element:

     <Properties>SkipValidatePackageReferences=true</Properties>
   

4. Your project reference should now look like this:

   <ProjectReference Include="..\MyProject\MyProject.csproj">
     <Name>MyProject</Name>
     <Project>{1d99490e-d140-4897-9890-238e673a5864}</Project>
     ...
     <Properties>SkipValidatePackageReferences=true</Properties>
   </ProjectReference>
   

5. Right-click on "MyAzureProject" in Solution Explorer and choose "Reload Project."

You should now be able to rebuild and the error should be gone.

If you double click the warning it gives you instructions for disabling the warning.

It is safe to disable for projectreferences from projects that don't yet support Nuget.

See below portion in bold copied from Microsoft.Bcl.Build.targets.

BclBuildValidateNugetPackageReferences

This target can be disabled for a project reference by setting SkipValidatePackageReferences=true for the reference:

<ProjectReference Include="..\pcl\pcl.csproj">
  <Project>{664a9e98-fac7-4567-a046-0dde95fddb48}</Project>
  <Name>pcl</Name>
  <Properties>SkipValidatePackageReferences=true</Properties>
</ProjectReference>

I faced the same issue and was trying to update Microsoft.Bcl.Build.targets; which did not help.

After some investigation found that .csproj file of the Azure Service project must be modified to include <Properties>SkipValidatePackageReferences=true</Properties>.

This was not apparent from the answer of @TheESJ and so decided to post separate answer. Thanks to @TheESJ.