I have tried to install the missing packages. Installing the toolchain and restarting CLion solved all in my case:
pacman -S mingw-w64-x86_64-cmake mingw-w64-x86_64-extra-cmake-modules
pacman -S mingw-w64-x86_64-make
pacman -S mingw-w64-x86_64-gdb
pacman -S mingw-w64-x86_64-toolchain