This error tends to happen if the paths for include headers and bindings are not set correctly. Intel has made this process very straightforward now. Just set the environment using following command for say intel64 architecture located at /opt/intel/bin.
source ./compilervars.sh intel64
This will set all the appropriate locations for MKL/TBB/etc headers. If you intent to set only the MKL paths then refer to bash script located at /opt/intel/mkl/bin named as "mklvars.sh"