MODIS data with .hdf extension not compiling in Ubuntu

I am trying to use GDAL to read .hdf file, but it does not seem to recognize the extension. It works fine in Windows system.

The GDAL open command gives the following error message:

ERROR 4: `MYD06_L2.A2014002.0645.006.2014269075802.hdf’ not recognised
as a supported file format.

You can access the .hdf file from this link [~80 MB].