Valery,
I guess you are trying to work on ia32 architecture, therefore you have to
1)setting  L"/opt/intel/mkl/10.2.1.017/lib/32
and
2) using another linking line:
-Wl,--start-group -lmkl_intel -lmkl_intel_thread -lmkl_core -Wl,--end-group -liomp5 -lpthread

As a result your linking line should be like:

icc stuff.c -I"opt/intel/mkl/10.2.1.017/include/" -L"/opt/intel/mkl/10.2.1.017/lib/32"  -Wl,--start-group -lmkl_intel -lmkl_intel_thread -lmkl_core -Wl,--end-group -liomp5 -lpthread

for more info how to link properly please refer to the KB article: http://software.intel.com/en-us/articles/intel-mkl-link-line-advisor/
--Gennady