Costacurta, affectionally known to fans as "Billy", won the Scudetto seven times with Milan, and the European Cup/Champions League five times (1989, 1990, 1994, 2003, 2007 - although he did not actually feature in the squad for the 2007 final). He was set to retire from Milan at the end of the 2005-06 season, but later signed a one-year extension at the age of 40. He became the oldest footballer ever to play in the Champions League, in Milan's 1–0 loss to AEK Athens on 21 November 2006, at 40 years and 211 days, topping the previous record held by Belgian goalkeeper Dany Verlinden at 40 years and 116 days.
On 7 May 2007, at age 41, he announced his retirement, effective at the end of the 2006–07 season. He remained with the club, as a second assistant to coach Carlo Ancelotti for a short time afterwards. He made his final home start in Milan's 3-2 loss to Udinese on 19 May 2007, converting a penalty that marked his first Serie A goal since the 1991–92 season (a left-footed volley against Roma on 3 November 1991), and left the pitch near the end of the match to a standing ovation. After the match ended, his teammates entered the pitch wearing a replica of his jersey as a tribute. A mainstay in the Italian national team throughout the 1990s, Costacurta played for his country in 1994 and 1998 World Cups, as well as Euro 96. After missing out on the 1994 Champions League final through suspension, he also missed the 1994 World Cup final loss to Brazil, again due to suspension. He retired from international duty with 59 caps in 1998. After his retirement, in the 2007–08 season Costacurta was a member of Carlo Ancelotti's coaching staff as a technical assistant, while earning his own coaching badges. At the end of the season, he successfully earned his badges and various Italian media reported that he was pursuing a managerial role of his own. However he refused a position at Pisa offered by new club owner Luca Pomponi immediately after the completion of his takeover of the club, citing his need to remain at Milan in order to stay at home and take care of his son, while his wife was on tour with the theater. On 27 October 2008 Costacurta was unveiled as new head coach of Serie B promotion candidates Mantova, following the dismissal of previous boss Giuseppe Brucato. However his time at Mantova proved to be unsuccessful, as he failed to improve Mantova's results and ultimately leading him to tend his resignation from the coaching post following a 1–0 loss to Vicenza that left his club only four points above the relegation zone.