Is it okay to use construction adhesive to install an interior door on concrete wall?
The short answer is that yes, construction adhesive alone could do the job, but it's unlikely to save you time or effort. Some caveats...

The opening would need to be just the right size and shape, or you'd need to come up with fillers. That means more joints to be glued and more points of failure. The effort involved would probably add up to more than just using shims and concrete screws.
Your walls aren't just concrete. They're also paint. Unless you scrape down to bare concrete you're relying on the bond of that paint to withstand the jarring forces of slamming doors.
Speaking of slamming... if your door is heavy or gets abused, the adhesive could fail over time.
Construction adhesive is very messy, and it doesn't come off. It's solvent-based and will be permanent on any rough or porous surface it touches. You'd need to mask the surrounding walls and floor to protect them.
You'll need to brace the whole works while the adhesive sets (around a day), and in the perfect position for margins between the jamb and the slab. Errors at this stage aren't easily fixed.