only for the pdf output you will need the bookmark.sty file otherwise it is not necessary. Your latex compiler can't find the file (probably because you are missing the package needing this file) and throws the error.
According to A.3 LaTeX | bookdown: Authoring Books and Technical Documents with R Markdown tinytex should be installed and contain the proper sty files.
See also please "bookdown.sty not found" error when trying to make pdf · Issue #247 · rstudio/bookdown · GitHub which addresses the same issue.