Olsen was a part of the Anderlecht team which beat Portuguese team FC Porto and Spanish team Valencia CF, among others, to reach the final game of the international 1982–83 UEFA Cup tournament. Anderlecht faced Portuguese team S.L. Benfica in the final, and won 2–1 on aggregate score. Olsen was subsequently named 1983 Danish "Player of the Year". Anderlecht also reached the 1983–84 UEFA Cup final against Tottenham Hotspur from England. Olsen scored a goal in the first leg, but missed his shot in the deciding penalty shoot-out which Tottenham won.