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The fast answer first: because your package.xml file lacks the necessary build dependencies.

If you go to the console output of the job (http://jenkins.ros.org/job/doc-hydro-ros_arduino_bridge/lastBuild/console) and search for the "CMake Error" you will find the following error message:

CMake Error at /opt/ros/hydro/share/catkin_basic/cmake/catkin_basicConfig.cmake:67 (add_message_files):
  Unknown CMake command "add_message_files".

This is because genmsg (which you find_package() in order to generate messages) is not declared as a build dependency in your package.xml. The buildfarm will therefore not install it for your doc job (which does some weird optimization of yuor CMakeLists file to avoid a lot of compilation). Anyway your release build would fail for the same reason - probably with a better error message.

You need to at least add the following to your package.xml:

<build_depend>genmsg</build_depend>

But there is more stuff missing in your package.xml and CMakeLists.txt. You should follow the tutorials / documentation on how to write a package which contains messages and correctly export these information for other packages to use your messages: http://docs.ros.org/api/catkin/html/howto/building_msgs.html E.g. the usage of genmsg is discouraged - use message_generation instead.