Davis signed as a free agent for US$10 million with the Kansas City Royals before the season. He pitched ineffectively early in the season and subsequently lost the closer role to Jeff Montgomery. After a brief stint for the Atlanta Braves in , again he pitched with the Phillies and Padres from –. After going out for two years, he returned to pitch until retiring with the Milwaukee Brewers in . He never came close to matching his accomplishments for San Diego, earning only eleven saves over the last eight seasons of his career.