Di Natale scored four goals in a 5–1 win over Ternana in the third round of the Coppa Italia on 23 August 2014. On 31 August, in Udinese's opening Serie A match of the 2014–15 season, he scored two second half goals in a home win over newly promoted Empoli. On 23 November 2014, he scored his 200th goal in his 400th appearance in Serie A. On 2 February 2015, he was offered an $8 million contract by a yet unnamed team in Major League Soccer (MLS); he had been linked to MLS expansion club New York City FC. On 28 April, Di Natale scored his 205th goal in Serie A, matching Italian legend Roberto Baggio as the sixth-highest goalscorer in Serie A history, at age 37; this was also his 700th career appearance. The following matchday, on 3 May, he scored in a 1–0 victory over Hellas Verona, overtaking Baggio with his 206th goal in Serie A. On 12 May, he once again took back his decision to retire at the end of the 2014–15 season, announcing his intention to play another season. In late April 2016, Di Natale said he would leave the club at the end of the 2015–16 season, although he also said he intended to continue playing professional football. On 15 May 2016, he scored a goal from the penalty spot in a 2–1 home defeat to Carpi in his final appearance with Udinese, scoring a total of 191 goals in 385 league appearances during his 12 years with the club, and 227 goals and 63 assists for the club in all competitions. He officially announced his retirement later that year.