The 21-year-old right-back will stay with the Serie A club for the rest of the season, United announced on Sunday.
Dalot joined the Premier League club from Porto in 2018 when fellow Portuguese Jose Mourinho was manager.
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I’ve learned a lot in these 2 years.
I’ll be rooting for you, reds 🔴🙌🏻 pic.twitter.com/bze3rE0GYf— Diogo Dalot (@DalotDiogo) October 4, 2020
He has made 35 first-team appearances for United, but only one this season as Ole Gunnar Solskjaer has also used Aaron Wan-Bissaka and Timothy Fosu-Mensah at right-back.
Dalot wrote on Twitter: “I’ve learned a lot in these 2 years. I’ll be rooting for you, reds”.
Dalot joins team-mate Andreas Pereira in leaving United for a loan deal in Italy this season.