If you still feel like you want to install the GPU version on a recent version of macOS (I'm on 10.12.2), you'll see in the installation instructions to run the command
$ sudo ln -s /Developer/NVIDIA/CUDA-8.0/lib/libcudnn* /usr/local/cuda/lib/
Yes, you need to do that. What you won't find is that you ALSO need to do a
export LD_LIBRARY_PATH=/usr/local/cuda/lib
to get it to work. Ignore the github issues that talk about disabling SIP (I didn't need to do that) so that you can set a DYLD_LIBRARY_PATH or other various calls to 'ln'. I just spent hours on figuring this out this week, so I want to pass this on.