Unfortunately, the current version (1.3.6) of the CloudWatch Logs Agent (found in wget https://s3.amazonaws.com/aws-cloudwatch/downloads/latest/awslogs-agent-setup.py) does not support Debian, and fails when installed in Debian 8 ('Jessie').
I made some small changes to the script so that it can be installed in Debian instances. Use this script instead of the official installation script when installing in a Debian instance.