He signed on a free transfer for defending Danish champions Brøndby IF in the summer 2002, as one of the first signings of new manager Michael Laudrup. In his first year at Brøndby, he most famously suffered a gashed eyebrow in the November 2002 game against Farum BK, but played on wearing a bloody head bandage and scored four goals in Brøndby's 7–1 victory. He was appointed vice-team captain behind Per Nielsen, and Wieghorst won his second Danish Cup title in 2003. In May 2004, Wieghorst suffered a knee injury in the "New Firm" local derby against archrivals F.C. Copenhagen. He returned to the starting line-up late in the 2004–05 season in April 2005, and was a part of the Brøndby team that won The Double of both league championship and cup trophy. In May 2005, less than a month after his rehabilitation, he announced his retirement at the season end on 26 June 2005.