DSolve function can't find symbolic solution that means Mathematica doesn't know a closed-form solution, if it exists.
Numeric solution:
a = 1; {P1, P2, P3, P4} =
NDSolveValue[{D[p1[t], t] == a Cos[t] p2[t] - p1[t],
D[p2[t], t] == p1[t] + a Cos[t] p3[t] - p2[t],
D[p3[t], t] == a Cos[t] p4[t] - p3[t],
D[p4[t], t] == (1 - a*Cos[t])*(p2[t] + p3[t] + p4[t]) - p4[t],
p1[0] == 1, p2[0] == 1, p3[0] == 1, p4[0] == 1}, {p1, p2, p3,
p4}, {t, 0, 100}]
Plot[Evaluate[{P1[t], P2[t], P3[t], P4[t]}], {t, 0, 100},
PlotLegends -> {"p1[t]", "p2[t]", "p3[t]", "p4[t]"}]
EDITED 2.4.2018:
By suggestion Mr Neil's:
sol = Solve[{0 == a Cos[t] p2[t] - p1[t],
0 == p1[t] + a Cos[t] p3[t] - p2[t], 0 == a Cos[t] p4[t] - p3[t],
0 == (1 - a*Cos[t]) (p2[t] + p3[t] + p4[t]) - p4[t],
p1[t] + p2[t] + p3[t] + p4[t] == 1}, {p1[t], p2[t], p3[t], p4[t]}]
Plot[Evaluate[{p1[t], p2[t], p3[t], p4[t]} /. sol[[1]] /. a -> 1], {t,
0, 100}, PlotLegends -> {"p1[t]", "p2[t]", "p3[t]", "p4[t]"}]
If the system is overdetermined then it had no solutions.