The current DCOS CLI does not respect the HTTP_PROXY and HTTPS_PROXY environment variables.
In order to complete installation when behind a proxy, it's necessary to set a proxy at the system level. If this is not possible, try installing the CLI in an Ubuntu virtual machine and configuring the proxy in the VM using the dialogue at
System Settings->Network->Network Proxy
If you are behind a very restrictive firewall and the above advice is not helpful, consider installing the CLI in a separate AWS instance and using it from there.
This issue is fixed in future CLI releases.