This library should be built by MKL custom builder.
But with MKL 10.3 you can use libmkl_rt.so
See updated article:
Update: With Intel MKL 10.3 there is a new dynamic library which removes the need to create your own custom library. So if you're a 10.3 user you don't need to do step 1 below. To make some changes in the behavior of this library you can look up these routines in the reference manual: mkl_set_interface_layer, mkl_set_threading_layer, mkl_set_xerbla, and mkl_set_progress.