The package includes the libraries only. However the support files containing the information about projections are completely missing as well as some utilities.

The data files containing informations about epsg (and others) handling are found in the nad subdirectory of the source package proj-4.7.0.tar.gz that can be downloaded from the proj4 home page.

Without this information gdal is not able to handle epsg projections.

As a quick fix I compiled the source and installed the files in /usr/local/share/proj and set the environment $PROJ_LIBS to this path.

The directory looks like this:
bash-4.2$ ls -l /usr/local/share/proj
insgesamt 1308
-rw-r--r-- 1 root root 648497 Okt  6 09:02 epsg
-rw-r--r-- 1 root root 453436 Okt  6 09:02 esri
-rw-r--r-- 1 root root  76652 Okt  6 09:02 esri.extra
-rw-r--r-- 1 root root    694 Okt  6 09:02 GL27
-rw-r--r-- 1 root root  83441 Okt  6 09:02 IGNF
-rw-r--r-- 1 root root  19501 Okt  6 09:02 nad27
-rw-r--r-- 1 root root  16559 Okt  6 09:02 nad83
-rw-r--r-- 1 root root   6385 Okt  6 09:02 nad.lst
-rw-r--r-- 1 root root   3916 Okt  6 09:02 other.extra
-rw-r--r-- 1 root root    261 Okt  6 09:02 proj_def.dat
-rw-r--r-- 1 root root   7043 Okt  6 09:02 world