A mini tutorial on this kind of setup, since Debian 8 currently comes with Python3.4.
In order to manage to compile and install pip3.5 along with the Python3.5, from source, you must install some other stuff first. For pip3.5 specifically, you need libssl-dev.
Overall, you need to install all the following packages.
sudo apt-get install -y make build-essential libssl-dev zlib1g-dev libbz2-dev libreadline-dev libsqlite3-dev wget curl llvm libncurses5-dev libncursesw5-dev;