After download the .zip file I unzipped this.

This have a couple of folders named "V2" and "V4"

Both folders have the mysql.data.dll (the file that we need to register) but I used the higher version number (V4):

1. Instal mono-gac entering this in terminal:

   sudo apt-get install mono-gac
   

2. Now register the library:

   sudo gacutil -i ~/UNZIPPED_FOLDER/V4/mysql.data.dll #Replace it with your path
   

And done!

Now when you will compile a file you need to add -r:mysql.data.dll to the command line option. Example:

gmcs Main.cs -r:mysql.data.dll #if the dll file is in the same path

All this steps were reached thanks to @drch.

I solve this problem with MySql.Data package if you have problems with MySql.Data.dll you can install MySql.Data package with nuget package manager.