According to https://github.com/klen/python-mode/issues/634:
I had the same issue, but successfully fixed. In my case I compiled python and vim with homebrew, when PYTHON_PATH has been specified and set to one of my dev environments, where I also had some libraries, including io. Workaround was simple: open new terminal, make sure that you do not have custom PYTHON_PATH, uninstall python, uninstall vim. Reinstall both of them.
and
Problem solved.
Culprit is the update from python 2.7.10 to 2.7.11.
If you are using conda package control, simply run "conda install python=2.7.10" will solve this problem.
This doesn't give the root cause though. Since this happens with _io, this looks like a bug in python 2.7.11 (unlikely, there would be a world-scale outcry and a prompt fix if it was) or some packaging bug or version mismatch specifically with the homebrew version (and maybe some related ones, too).
Try to import _io in the console and if it succeeds, check if it was loaded from the same path.