Unable to displace Staunton and Dominic Matteo, Bjørnebye agreed to a loan move to Danish side Brøndby IF in 2000, who finished second in the Danish Superliga with Bjørnebye on the team. He decided to permanently leave Liverpool after returning from the European Championship, accepting a £300,000 transfer to Blackburn Rovers that reunited him with former manager Graeme Souness. Promotion to the Premier League was achieved in his first year with Rovers, in the process, Bjørnebye scored his only goal for the club on 11 November 2000, in a 2–2 draw against Portsmouth. His final trophy was gained when Blackburn defeated Tottenham Hotspur 2–1 in the 2002 League Cup Final. Successive injuries after the cup victory disrupted and eventually ended his career as a footballer. While preparing for the 2002–03 season, Bjørnebye fractured his eye socket in a training accident. He complained of double vision, underwent surgery, and was rendered unavailable for seven months. Further injury inflicted during a League Cup match on 17 December 2002, in a 2–0 win against Wigan Athletic escalated, while Bjørnebye was recovering in Norway, necessitating emergency surgery to avert the possibility of foot amputation. Bjørnebye announced his retirement on 11 March 2003. Blackburn manager Graeme Souness reacted to the decision with a statement: