Arthur may be right, its a good place to start. If you can't find a vac leak, I still think its the sensor.
I wouldn't expect an O2 sensor code unless the continuity of the sensor is somehow compromised... i.e. broken wire or internal open of the circuit.
If you clear the code, my guess is that the light comes on and the code resets after about 45 seconds of running after a cold start. If so, what's happening is that the car is taking too long to go into "closed loop" operation after starting i.e. the O2 sensor is sluggish from age/contamination. Don't bother trying to clean it, its a waste of time in my opinion.
The ECM looks at the number of O2 cycles (crossings) in the first 45 seconds or so of running. If the sensor comes up too slowly, it will set the "too lean" code. Because the sensor eventually comes up, the car seems to run fine, but the code stays.
Find someone with a scanner that can watch the O2 sensor real time when initially starting and I bet you'll see how sluggish it is. If so, replace the sensor upstream of the cat.

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KenP

1996 S500 W140 Coupe