You have a few options, most of them involve leaks. Since you did a header and an intake at the same time, might be tricky to figure out where.
I'm not familiar with how many O2 sensors and banks we have in these cars, but if you are seeing a lean condition on a single bank, I'd guess you might have a leak on the headers on that side. If you're seeing a lean condition on both, you might have a leak on the intake or a problem with the MAF.
But basically, lean means the car thinks it's getting more air than it wants and has measured. If you have leaks at/after the MAF but before the O2 sensors, you will often see that condition as unmetered air enters.