I get the same result when trying to do the same thing (with v4.3.4 and v4.3.10). I think that there's a bug in the way the client is built when using client-side configuration, and nobody uses it anymore so it hasn't been tested for a very long time.
It seems that if you first configure for client-side config, it will not create the lib/xymonclient.a file required. However, if you first configure for server-side config and make, then re-configure for client-side config and make again, this problem goes away.
There are two more problems, it seems: The file xymond/Makefile requires an adjustment for using libxymonclient instead of xymonclient, and some libraries need to be forced to link against it also. So the following adjusted entry in xymond/Makefile worked for me:
../client/xymond_client: $(CLIENTOBJS) ../lib/libxymonclient.a $(CC) -o $@ $(RPATHOPT) $(CLIENTOBJS) *../lib/loadhosts.o ../lib/matching.o ../lib/timing.o ../lib/locator.o ../lib/libxymonclientcomm.a ../lib/libxymonclient.a -lpcre* $(PCRELIBS) $(NETLIBS) $(LIBRTDEF)
I note that some of the libraries should have been pulled in with $(PCRELIBS) and $(LIBRTDEF) but these don't seem to have been defined when in client-config mode.
FWIW, I have recently built the client for use on a number of Ubuntu installs at work...of course, I had no problem building them there. :-)
Mike Burger http://www.bubbanfriends.org
"It's always suicide-mission this, save-the-planet that. No one ever just stops by to say 'hi' anymore." --Colonel Jack O'Neill, SG1