Where in the Bible does it say ALL of God's teachings have been included in the Bible?
It doesn't. In fact John the Evangelist said at least twice that all Christ's teachings and deeds were not recorded.
But His teachings on Hell certainly were recorded, and the many parables He gave regarding what Hell is surely makes it seem like Hell is a "place". I don't know why Christ would compare a strictly "spiritual" Hell to a physical place like Gehenna. In Jesus' story of Lazarus and the 'rich man', he said the rich man went to Hell, and He described part of that rich man's punishment as being physically thirsty for water. Note that Jesus did not say the rich man was spiritually thirsty to see God. Though we can be sure he was suffering the loss of God, Jesus wanted us to understand Hell as a place of physical suffering too. Perhaps many people want to deny that Hell is a real "place" because they don't want to fathom what it would be like to be there.