That's correct - by default MKL runs with a single thread if it detects that it is being called from inside a parallel region. I have explained the way to change this behaviour in this answer. You can simply invert the boolean parameters there to make sure that MKL would only use a single thread.
Yet, if you only want MKL functions to run single-threadedly, e.g. you only use it from inside parallel regions, you'd better link with the sequential MKL driver instead. With Intel's compiler this is easy - just specify -mkl=sequential
. For other compilers you should look into the library's manual for how to link your program against the sequential driver.