After leaving Milan, Albertini bounced around different teams. He spent the 2002–03 season on loan to Atlético Madrid, scoring 2 goals in 28 caps for the Spanish club. He was eventually traded to Lazio in exchange for Giuseppe Pancaro during the 2003–04 season, with great bitterness, where he finally won the Coppa Italia which had eluded him at Milan, scoring 2 goals in 23 appearances for the club. He started the 2004–05 season with Atalanta, playing 14 matches and scoring a goal on his debut, before transferring to FC Barcelona in January, where he joined his former midfield mentor, manager Frank Rijkaard, and was able to capture La Liga during the final season of his career, with five appearances .