deprecate HDFS support (#6443)

CMakeLists.txt

@@ -286,6 +286,12 @@ if(USE_CUDA)
 endif()
 
 if(USE_HDFS)
+    message(
+      DEPRECATION
+      "HDFS support in LightGBM is deprecated, and will be removed in a future release.\
+      See https://github.com/microsoft/LightGBM/issues/6436.
+      "
+    )
     find_package(JNI REQUIRED)
     find_path(HDFS_INCLUDE_DIR hdfs.h REQUIRED)
     find_library(HDFS_LIB NAMES hdfs REQUIRED)

docs/Installation-Guide.rst

@@ -631,6 +631,10 @@ Use the GPU version (``device_type=gpu``) for GPU acceleration on Windows.
 Build HDFS Version
 ~~~~~~~~~~~~~~~~~~
 
+.. warning::
+   HDFS support in LightGBM is deprecated, and will be removed in a future release.
+   See https://github.com/microsoft/LightGBM/issues/6436.
+
 The HDFS version of LightGBM was tested on CDH-5.14.4 cluster.
 
 Linux

python-package/README.rst

@@ -160,6 +160,10 @@ To use the CUDA version within Python, pass ``{"device": "cuda"}`` respectively
 Build HDFS Version
 ~~~~~~~~~~~~~~~~~~
 
+.. warning::
+   HDFS support in LightGBM is deprecated, and will be removed in a future release.
+   See https://github.com/microsoft/LightGBM/issues/6436.
+
 .. code:: sh
 
     pip install lightgbm --config-settings=cmake.define.USE_HDFS=ON