How to load compressed kernel modules in Ubuntu?

You need to run depmod.

depmod (by default) reads the modules under /lib/modules/$(uname -r), finds which symbols they export and also what they need themselves, then using these info creates the symbol (module) dependencies between modules, and saves it in the file /lib/modules/$(uname -r)/modules.dep and also creates a binary hash /lib/modules/$(uname -r)/modules.dep.bin.

It also creates two other files:

• /lib/modules/$(uname -r)/modules.symbols (and it's binary hash /lib/modules/$(uname -r)/modules.dep.bin): contains the symbols each module exports

• /lib/modules/$(uname -r)/modules.devname: contains the /dev entry that needs to be created for necessary modules, contains the module name, name of the /dev entry and the major, minor numbers

Just to note, you can also run depmod for a specific kernel version or on a specific module, check man depmod.