Microsoft is aggressively encouraging Office 365 customers to use Office 365 groups instead of traditional distribution groups. In the Exchange admin center, when you select to create a distribution group, you get a popup to create an Office 365 group instead, as shown below.
There is one difference between this popup and if you actually selected an Office 365 group. This window has an option to create a distribution list. You can see it in the screenshot above by the red arrow. I'm pointing out that option because I didn't see it at first and was only made aware of it by Microsoft.
I should also note that another work around is to create a distribution list in the Office 365 admin center. That option is still available and is the same as creating a distribution group in Exchange admin center.