Favalli was then subsequently signed by Milan on a free transfer, as a replacement for his former Lazio teammate Giuseppe Pancaro, but once again, with players such as Kakha Kaladze and Paolo Maldini ahead of him in the ranks playing left-back, he would spend the seasons mainly on the bench. In the 2007 UEFA Champions League Final, he appeared as a substitute late in the match which saw Milan win their seventh European Cup/UEFA Champions League in a 2–1 win over Liverpool. He was affectionately nicknamed "Favallinho" by Milan supporters after he scored his only two goals of the 2006–07 Serie A campaign in back-to-back wins over Empoli and Messina in April 2007. Towards the end of his career, he was used as a centre-back by the "Rossoneri".