In 2005, he was one of the most consistent performers in Udinese's surprise qualification for the UEFA Champions League. Sensini was one of the oldest players of the 2005–06 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. He retired at the end of the season.
Sensini was a consistent, decisive, and intelligent player. He was also extremely tactically versatile, and was capable of playing in any defensive or midfield position. Throughout his career, he was deployed as a full-back, an attacking wing-back, a centre-back, or even as a central or defensive midfielder. Although he primarily excelled defensively as a ball winner, due to his tackling ability, he was also a player with good technique, who was capable of making attacking runs and contributing offensively for his team with occasional goals.
On 10 February 2006, after the dismissal of Serse Cosmi, Sensini ended his playing career and was appointed Udinese's new manager. He was supported in his new position by Loris Dominissini, who was named co-coach. The following month when Dominissini was sacked, Sensini resigned and left the club. Results had not improved with the team in danger of relegation, while they were defeated in the 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.