By default wp_nav_menu function, show menu items in the list view li, for change them to the link a tags change your wp_nav_menu function as shown in the example below.
<?php echo strip_tags(wp_nav_menu( array( 'theme_location' => 'header_nav', 'container' => false, 'echo' => false, 'items_wrap' => '%3$s', 'depth' => 0 ) ),'<a>'); ?>
This code displays the navigation menu defined for the header_nav area, without using a container. The echo option is set to false to prevent the wp_nav_menu() function from printing the result directly, but instead returning it as a string. The items_wrap option sets the wrapping format for menu items. The depth option is set to 0 to display only the first level menu items. The strip_tags() function is used to strip all HTML tags except the tag from the rendered menu before echoing it.