Given that I've spent a few hours to get it right, here is how I did it.
First install the required dependencies using Homebrew, by this I mean at least
brew install python libevent
Then upgrade setuptools with
curl https://bootstrap.pypa.io/ez_setup.py -o - | python
this will prevent the
egg_info error while installing gevent.
Finally, install the two packages
pip install gevent gunicorn
yield from self.wsgi.close() ^ SyntaxError: invalid syntax
error (due to some known issues with a Python 3 dependency not supported by Python 2).
Once done, a very minimal test that it is correctly installed is
echo -e 'def app():\n\tpass' > app.py gunicorn --log-level INFO --error-logfile - -k gevent app:app
that should output something like
[2014-11-18 11:00:52 +0100]  [INFO] Starting gunicorn 19.1.1 [2014-11-18 11:00:52 +0100]  [INFO] Listening at: http://127.0.0.1:8000 (49167) [2014-11-18 11:00:52 +0100]  [INFO] Using worker: gevent [2014-11-18 11:00:52 +0100]  [INFO] Booting worker with pid: 49170
the relevant part being that
Using worker: gevent message.