Zel sometimes gets exasperated with Lina's gung ho, let's-take-the-world-by-storm-and-steal-all-the-bandits-treasure attitude, because he thinks that they could be doing more useful things with their spare time, such as find his cure or hunt down the Clair Bible. He also leaves the group to go off on his own a whole lot, and would he do that if he really loved Lina (Amelia is the exception, he's not aware that he loves her ^_~), or, for that matter, if Lina loved Zel, would she let him go off on his own all the time? She'd stick with him to see him through, because that's the way she is. Instead, she continues on her own merry way with Gourry.
In TRY, there's an episode where Jiras (the fox) sets up a trap in which Lina, Filia, Amelia, Xelloss, Gourry, and Zel all have to be paired up with each other by some lottery type thing (something to do with colored balls). Anyway, Zel and Lina get paired up, and while they're walking up to the temple (looking for another of Dark Star's weapons), Lina's thinking to herself that she feels very awkward, which she woulda felt, anyway, had she been paired up with Gourry or Xelloss at this time. Zel is thinking that it's not so bad, signaling that he considers Lina to be more of a friend than anything. Had he had feelings for her, he would have been all flustered and blushing while they walked up the pathway. Instead, Lina and he hashed over ideas on what to do if they found the last weapon. I would say more, but I really need to re-watch my tapes so that I can give some better examples for you, and think a little clearer (I'm not feeling well).