User blog comment:Xilinoc/Ch. 662 (not released at time of writing)/@comment-25897574-20160212090816/@comment-1210805-20160214073318

I'm pretty sure they made a point to say that Kenpachi was the first to become a captain without a Bankai. No Zanpakuto, no Bankai. If all these statements are true, then Yoruichi has to have had one (which we have briefly seen). She may not have it anymore, she may simply not like using it.