We analyze the lattice spacing dependence for the pion unpolarized matrix element of a quark bilinear operator with a Wilson link (parton quasi distribution functions operator, quasi-PDFs) in the rest frame, using 13 lattice spacings ranging from 0.032 to 0.121 fm. We compare results for three different fermion actions with or without good chiral symmetry on dynamical gauge ensembles from three collaborations. This investigation is motivated by the fact that the gauge link generates a 1/a divergence, the cancellation of which in many ratios can be numerically tricky. Indeed, our results show that this cancellation deteriorates with decreasing lattice spacing, and that the RI/MOM method leaves a linearly divergent residue for quasi-PDFs. We also show that in the Landau gauge the interaction between the Wilson link and the external state results in a linear divergence which depends on the discretized fermion action.