After helping the team avoid relegation for the third consecutive season, Mazzone left Brescia in 2003 in order to coach Bologna for the third time in his long career. However, his adventure lasted only two seasons, as the team was surprisingly relegated to Serie B at the end of the 2004–05 Serie A season. It was the first relegation ever in Mazzone's career, and it convinced him to take a break from coaching for a while.