On 14 January 2016, Immobile returned to Torino on loan until the end of 2015–16 season. Two days later on his return debut, he scored the opening goal of a 4–2 home victory over Frosinone. On 14 February, he scored a brace, in a 3–1 win away against Palermo. On 22 March, it was determined he sustained a muscular injury at the half time mark in a derby with Juventus two days prior, and would be sidelined for a month.
The 2016 UEFA Champions League Final was the final match of the 2015–16 UEFA Champions League, the 61st season of Europe's premier club football tournament organised by UEFA, and the 24th season since it was renamed from the European Champion Clubs' Cup to the UEFA Champions League. It was played at the San Siro stadium in Milan, Italy, on 28 May 2016, between Spanish teams Real Madrid and Atlético Madrid, in a repeat of the 2014 final. It was the second time in the tournament's history that both finalists were from the same city. Real Madrid won 5–3 on a penalty shoot-out after a 1–1 draw at the end of extra time, securing a record-extending 11th title in the competition.
It was played at the San Siro stadium in Milan, Italy, on 28 May 2016, between Spanish teams Real Madrid and Atlético Madrid, in a repeat of the 2014 final. It was 3rd Champions League title awarded by Cristiano Ronaldo.
On 21 August, Immobile scored on his debut in Lazio's opening match of a 4–3 away win over Atalanta. Immobile finished the season with 23 league goals in 36 appearances plus 3 goals in the Coppa Italia, surpassing his total when he won the Capocannoniere with Torino in the 2013–14 season, though this time he did not win the Capocannoniere, losing it to Bosnian striker Edin Dzeko of cross-town rivals Roma, who scored 29 league goals.