According to an answer on Unity Answers, you need to put the scripts used for building into a folder named Editor (specifically, ./Assets/Scripts/Editor). Here's a full working build script:

using UnityEditor;
using UnityEngine;

class BuildSrcipt
{
    static string[] scenes = { "Assets/Scenes/MyScene.unity };
    static string name = "MyGame";

    [MenuItem("Build/Build WebGL")]
    static void BuildWebGL()
    {
        BuildPipeline.BuildPlayer(scenes, "./" + name + "_Web/" + name, BuildTarget.WebGL, BuildOptions.None);
    }

    [MenuItem("Build/Build Windows")]
    static void BuildWindows()
    {
        BuildPipeline.BuildPlayer(scenes, "./" + name + "_Windows/" + name, BuildTarget.StandaloneWindows64, BuildOptions.None);
    }

    [MenuItem("Build/Build Linux")]
    static void BuildLinux()
    {
        BuildPipeline.BuildPlayer(scenes, "./" + name + "_Linux/" + name, BuildTarget.StandaloneLinux64, BuildOptions.None);
    }

    [MenuItem("Build/Build All")]
    static void BuildAll()
    {
        BuildLinux();
        BuildWindows();
        BuildWebGL();
    }
}

According to an answer on Unity Answers, you need to put the scripts used for building into a folder named Editor (specifically, ./Assets/Scripts/Editor). Here's a full working build script:

using UnityEditor;
using UnityEngine;

class BuildSrcipt
{
    static string[] scenes = { "Assets/Scenes/MyScene.unity" };
    static string name = "MyGame";

    [MenuItem("Build/Build WebGL")]
    static void BuildWebGL()
    {
        BuildPipeline.BuildPlayer(scenes, "./" + name + "_Web/" + name, BuildTarget.WebGL, BuildOptions.None);
    }

    [MenuItem("Build/Build Windows")]
    static void BuildWindows()
    {
        BuildPipeline.BuildPlayer(scenes, "./" + name + "_Windows/" + name, BuildTarget.StandaloneWindows64, BuildOptions.None);
    }

    [MenuItem("Build/Build Linux")]
    static void BuildLinux()
    {
        BuildPipeline.BuildPlayer(scenes, "./" + name + "_Linux/" + name, BuildTarget.StandaloneLinux64, BuildOptions.None);
    }

    [MenuItem("Build/Build All")]
    static void BuildAll()
    {
        BuildLinux();
        BuildWindows();
        BuildWebGL();
    }
}