As you surely observed, Burn Option in Disk Utility has been removed in El Capitain OS X 10.11. This option has been moved directly into Finder. In case you have to burn an iso or dmg file, you have two options.
To burn ISO to disk in El Capitan follow these few step:
1: Click once on the ISO on your desktop (now the file is selected)
2: From Finder, in File menu, choose BURN DISK IMAGE xxxxxxx.iso to Disc (with xxxxxxx been the name of your ISO)
3. Wait for process to finish
1: right click on the ISO and choose from the menu that’s appeared “Burn Disk Image xxxxxxx.iso to Disc.