De link :
The name, location and existence of the CLI/CGI binaries will differ depending on how PHP is installed on your system. By default when executing make, both the CGI and CLI are built and placed as sapi/cgi/php-cgi and sapi/cli/php respectively, in your PHP source directory. You will note that both are named php. What happens during make install depends on your configure line. If a module SAPI is chosen during configure, such as apxs, or the --disable-cgi option is used, the CLI is copied to {PREFIX}/bin/php during make install otherwise the CGI is placed there. So, for example, if --with--apxs is in your configure line then the CLI is copied to {PREFIX}/bin/php during make install. If you want to override the installation of the CGI binary, use make install-cli after make install. Alternatively you can specify --disable-cgi in your configure line.
Então, você tentou make install-cli
? Você tem um sapi
dir com esses dois?