given that the linker language is C++ the option given to the
--mkl flag will not be recognized by the compiler
and hence you will always see a failure.
This setup command should work:
./setup --cc gcc --cxx g++ --fc ifort --chemps2 off --pcmsolver off --max-am-eri 8
This will hopefully discover the right installation of MKL and generate the right link line.
Note that the Fortran compiler will only be used to compile the DKH integrals sources. If you plan not to use that part of the code you can avoid selecting a Fortran compiler altogether.