Here's an argument (with no use of the solvable radical and semisimple quotient).
First, if $\mathfrak{g}$ (finite-dimensional) admits a grading in $\mathbf{Z}$, then every element of $\mathfrak{g}_n$ for $n\neq 0$ is ad-nilpotent (clear).
So a Lie algebra with the property that no nonzero element is ad-nilpotent has no grading in $\mathbf{Z}$. In general this can happen (e.g., the real Lie algebra $\mathfrak{so}(n)$ for $n\ge 3$). However, if the field is algebraically closed of characteristic zero, this implies that the Lie algebra is nilpotent. But then every element is ad-nilpotent; since it was assumed that no nonzero element is ad-nilpotent, this implies that the Lie algebra is zero.
Now let us check that $\mathfrak{g}$ is nilpotent (assuming the field algebraically closed). Indeed, any 1-dimensional multiplicative group of automorphisms yields such a nontrivial grading. Hence if there's no nontrivial grading in $\mathbf{Z}$ (by trivial grading I mean the grading concentrated in degree 0), the automorphism group of $\mathfrak{g}$ is virtually unipotent. In particular, the Lie algebra of derivations is nilpotent. Hence the Lie algebra of inner derivations is nilpotent, which in turn implies that $\mathfrak{g}$ is nilpotent.
I'm curious about this argument in positive characteristic (although the conclusion is known with an elementary proof Benkaart and Isaacs, 1977). Namely, does there exist a non-nilpotent finite-dimensional Lie algebra, in positive characteristic (over an algebraically closed field), with no nontrivial grading in $\mathbf{Z}$ (or equivalently, with $\mathrm{Aut}(\mathfrak{g})_0$ unipotent)? Added: This is precisely Question (c) in Section 7 of D. Winter, On groups of automorphisms of Lie algebras, J. Algebra 8, 131-142 (1968).