Borghi's exceptional performance in the 1985 Intercontinental Cup final (Argentinos Juniors lost to Juventus on penalties) drew the attention of A.C. Milan president Silvio Berlusconi, and Borghi was signed for the club in 1987. Borghi was drafted in alongside Dutchmen Marco van Basten and Ruud Gullit, but, since teams were allowed on only two foreign players, he was loaned out to Como for the 1987–88 season. The next year the maximum number of foreign players was increased to three, but Milan coach Arrigo Sacchi – who had won respect by securing the Scudetto a few months earlier – asked his team to sign another Dutch player, Frank Rijkaard, instead of bringing Borghi back, as Berlusconi wished. Afterwards Borghi left Italy and tried his luck in Switzerland with Neuchâtel Xamax, before returning to South America where he played for River Plate, Flamengo and Independiente. Eventually he wound up in Chile, winning the Recopa Sudamericana and Copa Interamericana with Colo-Colo in 1992, and concluded his playing career with Santiago Wanderers in 1999.