UPDATE (March 2020, thanks @ic): I don't know the exact AMI version but
yum install docker now works on the latest Amazon Linux 2. The instructions below may still be relevant depending on the vintage AMI you are using.
Amazon changed the install in Linux 2. One no-longer using 'yum' See: https://aws.amazon.com/amazon-linux-2/release-notes/
Docker CE Install
sudo amazon-linux-extras install docker -y sudo service docker start