Cocu and the Netherlands were present at Euro 2000 after automatically qualifying as a host. The Dutch side, with Cocu in all fixtures, won all group matches and the quarter-final against Yugoslavia. Still, Cocu and the team were again eliminated after a penalty shoot-out in the semi-finals, this time against Italy. The Netherlands and Cocu failed to qualify for the 2002 World Cup in a qualification group with Portugal and the Republic of Ireland. In 2003, Cocu received his first international sending-off in a friendly match against Belgium. The Netherlands did well in the Euro 2004 qualifiers, with Cocu scoring twice (both in separate matches against Austria). During Euro 2004, Cocu was chosen as team captain and appeared in all matches. In the quarter-finals against Sweden, he missed a penalty in the shoot-out, but the Netherlands still managed to win. In the semi-finals, the team was eliminated by hosts Portugal. After Euro 2004, Cocu lost the captain role to Edgar Davids, a decision made by new manager Marco van Basten.