BUG: initial prompt for reading .xlsx files misleadingly refers to xlrd, not openpyxl
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

#### Code Sample, a copy-pastable example

```python
import pandas as pd

pd.read_excel("foo.xlsx")
```

Example (empty) excel file: https://github.com/pandas-dev/pandas/files/6635871/foo.xlsx


#### Problem description

Running the code example emits an error message that could be very helpful:

```
ImportError: Missing optional dependency 'xlrd'. Install xlrd >= 1.0.0 for Excel support Use pip or conda to install xlrd.
```

However, as of version 2, the xlrd library only supports xls files, not xlsx (https://github.com/pandas-dev/pandas/issues/38410). This instruction is thus misleading: running `pip install xlrd` and then rerunning the code still fails:

```
ValueError: Your version of xlrd is 2.0.1. In xlrd >= 2.0, only the xls format is supported. Install openpyxl instead.
```

The correct/final resolution is thus to run `pip install openpyxl`. It's a bit of papercut to go though several steps here, especially as I suspect xlsx files are more common than xls these days (at least, it's been ~15-20 years since .xlsx was released according to https://en.wikipedia.org/wiki/Office_Open_XML).

#### Expected Output

It would be nice if the original error message made it clearer what was going on. For instance, options might be:

1. detect the file type/extension and reference the appropriate library (i.e. for .xlsx `ImportError: Missing optional dependency 'openpyxl'. Install openpyxl for .xlsx Excel support. Use pip or conda to install openpyxl.`)
2. mention both libraries so the human can make the decision `ImportError: Missing optional dependency 'xlrd' (for xls) 'openpyxl' (for xlsx). Install the appropriate one of these for Excel support. Use pip or conda to install xlrd or openpyxl.`)
2. suggest installing `xlrd>=1.0.0,<2.0.0`

(I personally feel that 1 would be the nicest.)

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : 2cb96529396d93b46abab7bbc73a208e708c642e
python           : 3.8.7.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 20.2.0
Version          : Darwin Kernel Version 20.2.0: Wed Dec  2 20:40:21 PST 2020; root:xnu-7195.60.75~1/RELEASE_ARM64_T8101
machine          : arm64
processor        : arm
byteorder        : little
LC_ALL           : None
LANG             : en_AU.UTF-8
LOCALE           : en_AU.UTF-8

pandas           : 1.2.4
numpy            : 1.20.3
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 20.2.3
setuptools       : 49.2.1
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>

After `pip install xlrd`, it reports: xlrd: 2.0.1.
