Rico joined Athletic Bilbao in late August 2013, penning a three-year deal with a €35 million buyout clause. He played his first game with his new team on 1 September, the first half of a 1–3 away defeat to Real Madrid. He featured in 94 matches in all competitions over his first two seasons – starting the vast majority – including all of his team's matches in the 2014–15 UEFA Champions League campaign, and culminating in the final defeat to FC Barcelona in the Copa del Rey. Thereafter, he was used less frequently by head coach Ernesto Valverde, appearing in 30 fixtures during 2015–16 and 23 during 2016–17 but often as a late substitute.