NAN constant value error on compilation under ICC

I have the following code (called misc.c)

#include <stdlib.h>
#include <stdio.h>
#include <mkl.h>
#include <math.h>

// double my_value = 1.0f;  // Works fine. 
double my_value = NAN;  // Gives "error: expression must have a constant value".
int main ()
{
//    double my_value = NAN;  // Works fine.
    printf("my value is %f\n", my_value);
    return 0;
}

However, when I try to compile this using ICC (18.0.0 20170811) I get the following error: 

% icc -mkl -D__PURE_INTEL_C99_HEADERS__ misc.c  -o misc 
misc.c(6): error: expression must have a constant value
  double my_nan = NAN;

However, if I use GCC this works fine (after commenting out the mkl.h include line) and runs as expected. 

I find this a bit strange and unexpected. Should I have expected this?