This is from Fanball, from a little while back:
July 13, 2004 1:20 PM ET
Pirates: Mesa doesn't want to be traded
Jose Mesa has been the subject of trade rumors, but he wants to stay in Pittsburgh and the Pirates are reportedly reluctant to give up their closer unless they get blown away with an offer. "I like it here. I don't want to go anywhere," Mesa told the Pittsburgh Post-Gazette earlier this week.
The Pirates won't get offered much more than a prospect for Mesa and they have no other experienced closers in line so this is one rumor that probably won't come to fruition. Kris Benson, on the other hand, is as good as gone. It's just a matter of which of the "buyers" gives the Bucs the best offer.
It may not be as bleak as a situation as some make it out to be. If you can get full value for Mesa, do it. However, I wouldn't sell him off really cheap.