Add warning when using old console script wrappers

We use sys.stderr instead of our `deprecated` helper because logging is
not set up at the time this is executed.

src/pip/_internal/utils/entrypoints.py

@@ -1,3 +1,5 @@
+import sys
+
 from pip._internal.cli.main import main
 from pip._internal.utils.typing import MYPY_CHECK_RUNNING
 
@@ -18,4 +20,12 @@ def _wrapper(args=None):
     directing them to an appropriate place for help, we now define all of
     our old entrypoints as wrappers for the current one.
     """
+    sys.stderr.write(
+        "WARNING: pip is being invoked by an old script wrapper. This will "
+        "fail in a future version of pip.\n"
+        "Please see https://github.com/pypa/pip/issues/5599 for advice on "
+        "fixing the underlying issue.\n"
+        "To avoid this problem you can invoke Python with '-m pip' instead of "
+        "running pip directly.\n"
+    )
     return main(args)

tests/functional/test_cli.py

@@ -29,5 +29,6 @@ def test_entrypoints_work(entrypoint, script):
 
     script.pip("install", "-vvv", str(fake_pkg))
     result = script.pip("-V")
-    result2 = script.run("fake_pip", "-V")
+    result2 = script.run("fake_pip", "-V", allow_stderr_warning=True)
     assert result.stdout == result2.stdout
+    assert "old script wrapper" in result2.stderr