I installed new Android Studio 0.1.1 based on IDEA ide and tried Import code from Eclipse.
Had the same problem when Android studio 0.2.9 on mac and importing an old eclipse project:
By default, it uses /Applications/Android Studio.app/sdk as the android sdk location, instead of whatever you used to use.
On a per-project basis, you can go to the menu's File->Project Structure (command-;) and on the left you can change the project's sdk location.
To handle all projects (new or imported), before opening anything at the start screen click configure -> Project Defaults -> Project Structure -> (on the left) Android SDK to do the same. (re: https://stackoverflow.com/a/18409923/954643)
If you were starting from scratch without any android sdk setup and eclipse though, you'd have to download the missing SDKs via Tools->Android->SDK Manager.