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The M's don't NEED to trade Lee.
I again find myself taking Z at face value on this position.  It's not that I don't think there are more covert machinations or hidden agendas behind what he says publicly.  I just think there is no strong reason for him to not be up-front on the Cliff Lee situation.  He's holding a straight flush, and everyone knows it.  No need to bluff really...
Take a sheet of paper, make two columns, one with reasons to trade Lee, one with reasons to keep him.  Maybe assign a point value 1-10 on how each should be weighted. 
The reasons to trade Lee are obvious, stats-based sort of things.  To get young players who are cheap and have upside and can help win your next pennant.
The reasons for keeping Lee, however, include some very intangible reasons.  Things that Z has indicated, and Drayer has 'reported', and Jemanji and others have talked about.  Like playing to win, always.  Like establishing a culture of winning.  Like keeping your best players as an organizational philosophy.  Like keeping a good relationship with Lee so you can sign him in the offseason if you choose.  Etc.
Those reasons add up to a lot, depending on how you weigh them.  Z has shown, in his dealings with players, that those types of things are very important to him.
So rather than Z being in a position of trying to 'convince' the other parties that he's not desperate, he just actually isn't.