Let $G$ be an open connected component of $A=\{z:|p(z)| \leq 1\}$ such that $G \subsetneq A$
Assume that $p(z)$ does not have a root in $G$ thus $g(z)=\frac{1}{p(z)}$ is holomorphic in $G$ and $|g(z)| \geq 1,\forall z \in G$
From the minimum modulus principle exists $z_0 \in G \cup \partial G$ such that $|g(z_0)|=1$
and $|g(z)| \geq |g(z_0)|=1,\forall z \in G$
Now assume that $z_0 \in \partial G$ thus $\exists \epsilon>0$ such that $B(z_0,\epsilon) \cap G \neq \emptyset$ and $B(z_0,\epsilon) \cap G^c \neq \emptyset$.
Then we can choose $\epsilon$ small enough such that $B(z,\epsilon) \subset A$
But $B(z_0,\epsilon)$ is a connected set so because of the fact that $G$ is a connected component of $A$,we must have that $B(z,\epsilon) \subset G$ which is a contradiction.
Thus $z_0$ is in the open region $G$ and $|p(z_0)|=1$ thus $z_0$ is a maximum of $p$ and it is attained in $G$
Thus $p$ is constant which is again a contradiction.