From the documentation for FindRoot:

FindRoot first localizes the values of all variables, then evaluates f with the variables being symbolic, and then repeatedly evaluates the result numerically.

So your warning message is because of this.

If you define

g[y_?NumericQ] := 
 1 - (4 ((Integrate[x/(E^x - 1), {x, 0, y}]/y + y/2) - 1))/y

(which causes FindRoot to skip the symbolic evaluation) and then evaluate

FindRoot[g[y] == 0.395544, {y, -4.}]

You get the desired answer. Buyt also note that the integration can be done analytically:

In[41]:= 1 - (4 ((Integrate[x/(E^x - 1), {x, 0, y}]/y + y/2) - 1))/y

Out[41]= ConditionalExpression[
 1 - (4 (-1 + y/
     2 + (-(\[Pi]^2/6) - y^2/2 + y Log[1 - E^y] + PolyLog[2, E^y])/
     y))/y, E^y <= 1]

So why not use that so that the integration does not need to be done repeatedly. Note the ConditionalExpression (which is the root cause of your problem) so you need to strip the function of this and just be sure that your domain of root finding is consistent with the constraints of the ConditionalExpression. E.g.:

FindRoot[1 - (
   4 (-1 + y/
      2 + (-(\[Pi]^2/6) - y^2/2 + y Log[1 - E^y] + PolyLog[2, E^y])/
      y))/y == 0.395544`, {y, -1.}]