Strange, I had this problem last night.
You need to install the readline development package for centos. Use
yum to do this. Then you need to go you ruby source code, presuming
that you still have it around after you compiled ruby and change to
the "ext/readline" directory. There will be a extconf.rb file ( from
memory ). Run that with the command "ruby ./extconf.rb". A make file
should be generated. Type in "make" and then as root, "make install".