In case MKL is not automatically found by cmake you can try adding -DMKL_DIR=/opt/intel/oneapi/mkl/latest/lib/cmake/mkl to the cmake command.
EDIT: This didn’t work for me. Cmake is complaining that the MKL library is “dynamic” and not “static”. I am retrying with
-DMKL_DIR=/opt/intel/oneapi/mkl/2025.0/lib/cmake/mkl now.
EDIT2: Didn’t work either. But I found your other post Problem updating NGSolve - #4 by walker_tr9. I am adding the option -DMKL_LINK=dynamic now.