No there is not. This the consequence of having lines thinner than (or around) one pixel probably in combination with your antialiasing settings.
Make the ImageSize bigger, Rasterize it, and then use ImageResize to get a smaller one again.
Graphics[{Thickness[0.002],
Line[{{{0, 0}, {5, 5}}, {{1, 1}, {4, 4}}, {{2, 2}, {3, 3}}}]},
ImageSize -> 800]
