In the 2005–06 season he scored 9 goals in 22 league games and scored eight goals in 22 cup appearances. He helped Steve McClaren's "Boro" to defeat Xanthi (Greece), Grasshopper Club Zürich (Switzerland), Dnipro (Ukraine), Litex (Bulgaria), VfB Stuttgart (Germany), A.S. Roma (Italy), FC Basel (Switzerland) and Steaua București (Romania) en route to the UEFA Cup final. In the final Middlesbrough were beaten 4–0 by Spanish club Sevilla at the Philips Stadion. The cup final proved to be Hasselbaink's last appearance for the club, as new manager Gareth Southgate decided to release him in July 2006.