His professional playing career started in 1986 for Newell's Old Boys; where he won his first title before relocating to Italy in 1989, joining Udinese Calcio alongside compatriot Abel Balbo. Sensini played four seasons for the "bianconeri", before moving to Parma in 1993, where he remained for a further six seasons. During this period Sensini sometimes played in midfield and won two UEFA Cups, two Italian Cups, and the UEFA Super Cup with the "gialloblu", also reaching the final of the European Cup Winners' Cup in 1994. He would then have a brief stint with S.S. Lazio starting from the 1999–2000 season, winning the "scudetto", the Italian Cup, the UEFA Super Cup, and the Supercoppa Italiana in his first season. After two years with the club, he moved back to Parma for a further year, winning another Coppa Italia in 2002, before returning to his first Italian club, Udinese, in 2002.