There are 2 solutions for your question.
Prerequisite
Update AUCTeX to latest version 11.90. I suggest you do it via ELPA as described in the manual. If you do so, please also read Quick Start. And definitely put this in your init file:
(setq TeX-parse-self t)
Quick fix solution
elsarticle.cls internally loads natbib, graphicx and some other packages. AUCTeX does not parse the .cls file to be aware of this. You can give AUCTeX a hint by loading these packages again in the preamble of your .tex file. With TeX-parse-self set to t, AUCTeX loads its support files (jargon: style files) for these packages and your file will look like this:

Also note that now you get auto-completion support for macros provided by natbib when you hit C-c C-m citep RET. Things get even better if you use RefTeX.
Long-term solution
This includes writing an AUCTeX support file elsarticle.el. For what you're asking, the following lines will be sufficient:
;;; elsarticle.el --- AUCTeX style for `elsarticle.cls'
(TeX-add-style-hook
"elsarticle"
(lambda ()
(TeX-run-style-hooks "natbib" "graphicx" "geometry")))
Customize the variable TeX-style-private to a directory of your choice, e.g.
(setq TeX-style-private (expand-file-name "~/.emacs.d/auctex-styles"))
Save elsarticle.el in that directory, restart Emacs and load your .tex file. This should then work without reloading natbib and graphicx in your preamble.
natbiborbiblatex? And which AUCTeX version do you have installed? – Arash Esbati Apr 12 '17 at 06:44pdflatexwithoutnatbibpackage. I'm working withelsarticleclass and I doubt it usesbiblatex. – Ébe Isaac Apr 12 '17 at 08:38