You may well be using use the procedure you are mentioning with a different kernel source tree this procedure was written for.
The procedure you are referencing is supposed to be applied to an Arago Linux kernel - directly creating a zImage+dtb bundle as a make target seems to be a patch to the standard arch/arm/boot/Makefile, that is this feature may not be part of current mainline kernels build system.
You can get the same result by doing by hand what the patch is doing, that is appending the dtb file to the zImage prior to the uImage file to be created:
make ARCH=arm CROSS_COMPILE=arm-linux-gnu- zImage am335x-boneblack.dtb
cp arch/arm/boot/zImage arch/arm/boot/zImage.original
ls -l arch/arm/boot/zImage arch/arm/boot/dts/am335x-boneblack.dtb
-rw-rw-r-- 1 user user 29162 Oct 16 23:19 arch/arm/boot/dts/am335x-boneblack.dtb
-rwxrwxr-x 1 user user 2030848 Oct 16 23:21 arch/arm/boot/zImage
cat arch/arm/boot/zImage arch/arm/boot/dts/am335x-boneblack.dtb > arch/arm/boot/zImage-dtb
ls -l arch/arm/boot/zImage-dtb
-rw-rw-r-- 1 user user 2060010 Oct 16 23:25 arch/arm/boot/zImage-dtb
cp arch/arm/boot/zImage-dtb arch/arm/boot/zImage
make ARCH=arm CROSS_COMPILE=arm-linux-gnu- uImage LOADADDR=0x80008000
ls -l arch/arm/boot/uImage
-rw-rw-r-- 1 user user 2060074 Oct 16 23:27 arch/arm/boot/uImage
You will notice that the length of the uImage file is exactly 64 bytes greaterthan the ZImage bundle it was built from, which does correspond to the length of the standard u-boot header.
Finally we can rename the uImage bundle file to the name used in the procedure, and restore the original, non-bundle, zImage back in the case you would need it:
mv arch/arm/boot/uImage arch/arm/boot/uImage-dtb.am335x-boneblack
mv arch/arm/boot/zImage.original arch/arm/boot/zImage
An alternate solution is to patch arch/arm/boot/Makefile - While applying it to my 3.17 mainline kernel, parts of it were rejected, which means changes would have to be made in the makefile, and a new patch for 3.17 be created/saved for future use.
In order for the bundle uImage to be usable, you need to enable CONFIG_ARM_APPENDED_DTB in your kernel configuration file - credit to Srinivas Kandagatla.