If you are willing to forego El Capitan's System Integrity Protection features and make your system more vulnerable to malware exploits you can find instructions for disabling SIP on the internet and that may restore the behavior you are wanting.
Disabling SIP is strongly NOT advised and has been compared to running in root mode full time. So I will leave the how to up to you to discover — or not.
I can see that running with SIP disabled is potentially dangerous, but won't the illusion of the "invulnerability" of the platform dissuade creators and distributors of (Edit: new) malware?
Who'll waste their time targeting the minimal number of (presumably) sophisticated, careful users who are running unprotected?
Edit: Granted that existing malware is still out there and that running unprotected leaves users more at risk of it than they were at the outset (I'm assuming that with SIP disabled malware can be installed without authentication.), but the exploits are all well-known and no worse than relatively easily reversible in the unlikely instance one stumbles over them.