How to Annotate Gene names in *.bedmethyl files generated from ModKit?

[vaishnavpvarma]

I have few *.bedmethyl.gz files generated from modkit pileup command, and I need get the gene names annotated for further analysis.
I tried bedtools intersect -a /path/to/all_samples_HP1_merged.bedmethyl.gz -b genomic.gtf -wa -wb but got a warning:

****** WARNING: File /path/to/all_samples_HP1_merged.bedmethyl.gz has inconsistent naming convention for record: 
chr1 10468 10469 a 1 . 10468 10469 255,0,0 1 0.00 0 1 00 0 0 0

Is there any other way to do it effectively?