After a brief stint back in Brazil with Palmeiras in 1996, Cafu returned to Europe once again the next year, this time with Roma, and won the "Scudetto" in 2001, followed by the Supercoppa Italiana. It was during his tenure at Roma that Cafu earned the nickname "Il Pendolino" ("The Express Train" or "The Commuter"). Despite making the Coppa Italia final in 2003 with Roma, he moved to Milan after turning down a move to Japan with Yokohama F. Marinos. With the "Rossoneri", he won his second career Scudetto in 2004, followed by his second Supercoppa Italiana, and he played in his first UEFA Champions League final in 2005.