I managed to resolve this issue as follows...
Be careful, make sure you understand the IDE you're using! - Because I didn't. I was trying to import xlsxwriter using PyCharm and was returning this error.
Assuming you have already attempted the pip installation (sudo pip install xlsxwriter) via your cmd prompt, try using another IDE e.g. Geany - & import xlsxwriter.
I tried this and Geany was importing the library fine. I opened PyCharm and navigated to 'File>Settings>Project:>Project Interpreter' xlslwriter was listed though intriguingly I couldn't import it! I double clicked xlsxwriter and hit 'install Package'... And thats it! It worked!
Hope this helps...