He spent two years at Saba Battery, scoring 23 goals, winning the Hazfi Cup and participating in the Asian Champions League. After World Cup 2006 and the arrival of Saba Battery's new manager, Farhad Kazemi, it was announced that he was no longer needed on the team and his contract would not be renewed. Despite rumours of retirement, he signed for another industry-linked club from Tehran, Saipa, on 1 August 2006.
Despite criticism, Daei played in the 2006 FIFA World Cup; the criticisms, however, were directed more at his fitness and the inability of younger players to play a part in the World Cup. From Iranian media calling for his retirement, Ali Daei has always defended his position in Team Melli and has rejected that he was too old to play for the team.
On 8 October 2006, upon sudden leave of Saipa's German coach Werner Lorant, he was appointed as the interim manager of Saipa. He was later officially announced as the full-time manager. On 28 May, Saipa became the Persian Gulf Cup champions in Daei's first season at the helm. Going into his second season as manager Daei relinquished his playing duties for the defending champions and found himself on the sidelines full-time. The results of Saipa's 2007–2008 campaign were not nearly as successful as his team finished 11th in the 18 team Iran Pro League table. However Daei did lead Saipa to an Asian Champions League quarterfinal birth before leaving to take over as the full-time manager of the Iranian national football team.