In July 2001, Laursen was loaned out to Serie A rivals A.C. Milan, who needed depth in their squad. He started out strong for his new club, scoring two goals in the first four rounds of the 2001–02 Serie A season, and played 22 league games in his first season with Milan. Milan decided to buy him in the middle of the season for a fee of 21.5 billion lire (€11,103,823). In the summer 2002, Milan bought Italian international defender Alessandro Nesta, and Laursen's playing time diminished to a combined 20 league games in the next two seasons.