The simpler counter-example is obviously $P(X)=-X+a_0$.
Whatever the nature of $a_0$ it is clear that $P(a_0)=0$.
If we have a polynomial $P(X)=a_nX^n+...+a_1X+a_0=a_n(X-x_1)(X-x_2)...(X-x_n)$
Then the Newton's identities give a relation between the coefficients and the roots of the polynomial (we assume $a_n\neq 0$).
$\begin{cases}
\sigma_0=1\\
\sigma_1=x_1+x_2+...+x_n=\sum\limits_{i=1}^nx_i\\
\sigma_2=x_1x_2+x_1x_3+...+x_{n-1}x_n=\sum\limits_{1\le i,j\le n}x_ix_j\\
...\\
\sigma_k=\sum\limits_{1\le i_1,...,i_k\le n}x_{i_1}x_{i_2}...x_{i_k}\\
...\\
\sigma_n=x_1x_2...x_n=\prod\limits_{i=1}^nx_i\\
\end{cases}$
Then $\displaystyle \sigma_k=(-1)^k\frac{a_{n-k}}{a_n}$
In particular in the problem that interests us at the moment we have $\sigma_n=\prod\limits_{i=1}^n x_i=(-1)^n\frac{a_0}{a_n}$
The constraint that $x_1=a_0$ for instance only results in $\prod\limits_{i=2}^n x_i=\frac{(-1)^n}{a_n}$ which is a very loose constraint for a product of $n-1$ algebraic numbers.
For instance I can take $x_2=x_3=...=x_{n-1}=1$ and $x_n=\frac{(-1)^n}{a_n}$ which is rationnal and thus algebraic, but of course you can guess that other choices for the $x_i$ are possible (and in infinite number).
Maybe you were thinking of a different case where $a_n=1$ and all roots are also integers, but even in this case there is a solution.
$\prod\limits_{i=1}^n x_i=(-1)^na_0$ by Gauss theorem this implies that one root is $\pm a_0$ and the others are all $\pm 1$
Thus all polynomials of the form $P(X)=(X-a_0)(X-1)^m(X+1)^n$ with $a_0\text{ prime}$ and $m,n$ positive or null integers verifying $m+n$ odd would have $P(a_0)=0$.