The Import Module feature has been removed for Gradle-based projects
because it previously didn't do the right thing with your Gradle build
files and it would put your project in a confusing state; it will be
re-enabled when it's properly implemented. The bug tracking it is at https://code.google.com/p/android/issues/detail?id=62122.
In the meantime, to add a module, you need to write a
build.gradle file for it by hand, add a reference to the
module to your
settings.gradle file, and if the project is
still open in Android Studio after you make the changes, click on the "Sync
Project with Gradle Files" button in the toolbar.
If you're not familiar with Gradle, you can get docs on the particulars
of Android Gradle projects at http://tools.android.com/tech-docs/new-build-system/user-guide.