His professional playing career started in 1986 for Newell's Old Boys; where he won his first title before relocating to Italy in 1989, joining Udinese. He played 5 seasons for the bianconeri, before moving to Parma in 1994; where he remained for a further 5 seasons. During this period Sensini won two UEFA Cups, two Italian Cups, and the UEFA Super Cup with the gialloblu. He would then have a brief stint at S.S. Lazio, winning the scudetto and Italian Cup in his first season. After two years with the club, he moved back to Parma for a further year before returning to his first Italian club Udinese in 2002.
In 2005, he was one of the most consistent performers in the surprise qualification of Udinese in the UEFA Champions League. Sensini was one of the oldest players of the 2005/2006 Serie A, holding even the record as the oldest foreign player to score a goal in first division, at the age of 39 years, two months and 26 days. With over 380 matches at the top level, he was considered as one of the most experienced defenders of the Italian league, and often nicknamed nonno (grandfather) by Italian sports journalists.
On 10 February 2006, after the dismissal of Serse Cosmi, Sensini was appointed as new manager of Udinese, supported by Loris Dominissini, who was legally the coach, in his new position. However, on 20 March he resigned, and left the club, after a long crisis of results which brought the team in danger of relegation, and to be defeated in UEFA Cup by Bulgarian team Levski Sofia.
For the Argentine Torneo Clausura 2008, Sensini coached Estudiantes de La Plata, having replaced Diego Simeone. Sensini then went to manage Newell's Old Boys for the Clausura 2009 tournament. In April 2011, he resigned after 2 years as head coach of Newell's Old Boys after Lepra's sixth loss in nine games, leaving them 19th in the Clausura table.
On 21 February 2012, Sensini was appointed as the new head coach of Argentine first division club Colón. He resigned on 16 March 2013 after a 1-0 loss against rivals San Lorenzo, following a row of eight matches without winning.