Ménez began his career spending time with various clubs in the Île-de-France region such as the Centre de Formation de Paris and CSF Brétigny. In 2001, he secured a move to Sochaux and spent four years in the club's youth academy. In March 2004, Ménez became the youngest professional football player in the history of Ligue 1 after signing a professional contract and made his professional debut in the 2004–05 season. With Sochaux, he played European football for the first time after participating in the 2004–05 edition of the UEFA Cup. After two seasons at the club, he joined Monaco. At Monaco, Ménez developed into a playmaking midfielder under the tutelage of Brazilian manager Ricardo Gomes. After two successful seasons in Monaco, he signed for Serie A club Roma on a four-year contract. With Roma, Ménez featured in the UEFA Champions League for the first time and scored 12 goals in over 100 appearances with the club. In July 2011, after three seasons with Roma, Ménez returned to France signing a three-year contract with Paris Saint-Germain. He was then signed by A.C. Milan on a free transfer in June 2014, signing a three-year contract.