My solution was to link the libraries statically. That was there is no need for an awkward .dll standing next to your .exe.
Adding a single line on the CMakeLists.txt
set(CMAKE_EXE_LINKER_FLAGS -static)
Fixed my problem. Here is other 2 options that also work, in case you need it for some reason.
#set(CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} ${GCC_COVERAGE_LINK_FLAGS} -static-libgcc -static-libstdc++ -static")
#set(CMAKE_EXE_LINKER_FLAGS=-static-libgcc -static-libstdc++ -static)
My .exe went from 100KB to 1MB
Edit: A couple more cool options
Added -s and -O3 to my original CMakeLists.txt of my question.
set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -std=c++11 -s -O3")
-s reduced size from 1MB to 650KB. -s
-O3 is supposed to set optimization level to 3 which is the max -O3
You can see all the options from the gcc.gnu.org site. There are too many. Use the "find" option of your browser (Ctrl + f).