No. You don't need to. It's even acceptable to submit simultaneously when the guidelines say "no simultaneous submissions."
Submit to everybody, don't tell them its simultaneous, and don't apologize for doing it that way. If you do get two offers, start a bidding war.
This is really bad advice. You won't start a bidding war; there's plenty of other submissions to choose from if your piece isn't included. You're nothing special, you're one of several hundred in most cases.
In my editorial experience (having edited for several magazines and journals over the last 6 years)--there's generally a reason why the editorial staff ask you not to do it. If you submit to multiple markets simultaneously and then withdraw your work because it has been accepted elsewhere, you've wasted one editor's time. That shows a lack of respect for them and their review and an inability to follow guidelines--this also paints you to be unreliable and unprofessional.
Yes, editors rely on contributors for content, but contributors also rely on outlets to get their work out there. It's a symbiotic relationship that can't function when either party loses credibility or when one decides to take the piss out of the work relationship.
If you withdraw your piece, do it respectfully and with an apology. Offer a new piece to replace it, or start the submissions process afresh. There are editors that use blacklists for unreliable contributors, whereas reliable contributors can become recurrent sources of material by direct request--remember that you are not the only person to submit something for consideration, the slush-piles are generally extremely vast (less than 3% of all unsolicited submissions across journals meets publication), and don't forget that patience is a virtue.
If you are asked
NOT to submit simultaneously, have the respect to wait for a response before subbing elsewhere. If guidelines state that simultaneous subs are OK, by all means, do so; give a courtesy heads up in the submission query if you feel the need (though not necessary)--but remember to withdraw.