make install is invoked, it will invoke a distribution-specific script to build the initrd.img, this script will lookup all the modules that required by this distribution, but because you have just compiled all modules into kernel as built-in via
make allyesconfig, the script failed to lookup modules.
I can't reproduce your problem just now, I remember "modules not found" is just warnings, I always ignore it because the initrd.img was successfully built and the new kernel was successfully booted. If you do fail on "modules not found", you should re-config such modules from built-in modules to real loadable modules by manually via
make menuconfig by this way: "modules not found" message contains module name, use the name to search through Makefiles to find out which CONFIG_XXX, and turn that CONFIG_XX to
At the last, if you just want a newly built kernel, I suggest you use the distribution config instead
cp /boot/your_distribution_config .config
make menuconfig # can exit it directly with nothing changed
# update the grub, if it is required for your distribution.