Early career Rubio began his football career with
Universidad Católica. However, when he was 14, he took the decision to move to his favorite team
Colo-Colo. After one year in the bench with Colo-Colo, in the next season Diego was consecrated in the youth team. After many seasons in the youth ranks, he was promoted to the first professional team in January 2011.
Colo-Colo Rubio made his professional debut for Colo-Colo in a pre-season friendly against
Deportes La Serena as a starter. In other pre-season game, Diego scored his first unofficial goals for the club, in a 3–1 win against
Unión Española, in where he scored two goals for his team, being named the man of the match. His
Chilean Primera División came on 14 February 2011 against
Unión San Felipe, as an 84th-minute substitution in a 2–0 away defeat. In a Copa Libertadores game played against
Santos in Brazil, he scored his first professional goal, but the match finished in a 3–2 loss. On 19 April, Rubio scored his first two goals in the Primera División against La Serena, at 30th and 62nd minute, being named the man of match, in a 4–1 home win. He finally was consecrated in the club in an international game for the Libertadores against
Táchira, Rubio gave the 2–1 victory to the club, scoring the two goals of Colo-Colo, after an early goal of Edgar Pérez Greco at 4th minute. After his club's performances, was rumored that
Udinese are interested in Rubio. He played his first derby game against his former youth club
Universidad Católica, participating in the equalizer goal of Colo-Colo giving an assistance to
Ezequiel Miralles at 81st minute, putting the 1–1 draw. The coach
Américo Gallego nominated to Rubio for play the major derby of the Chilean football against
Universidad de Chile, however, he only playing 30 minutes in a 2–1 loss.
Sporting CP On 5 July 2011, Rubio joined Portuguese club
Sporting Clube de Portugal for €1.5 million, signing a five-year contract with a €30 million minimum fee release clause.
Loan to Pandurii On 2 September 2013, Romanian
Liga I club
Pandurii Târgu Jiu confirmed Rubio was signed on a loan from Sporting, with an option to buy. He debuted in Liga I in the match against
Dinamo Bucharest, won by Pandurii 2–1.
Loan to Sandnes Ulf On 3 February 2014, Rubio joined
Tippeligaen side
Sandnes Ulf on a season-long loan.
Valladolid On 31 August 2015, aged 22, signed a four-year contract with Spanish club
Real Valladolid.
Sporting Kansas City On 8 March 2016, Rubio signed a season-long loan with
Major League Soccer side
Sporting Kansas City as a
Designated Player. He signed with the club on a permanent deal on 1 September 2016.
Colorado Rapids Ahead of the 2019 season, Rubio was traded to
Colorado Rapids in exchange for
Kelyn Rowe, $200,000 of General Allocation Money and $100,000 of Target Allocation Money. On 20 February 2019, Rubio signed a three-year contract extension through the 2022 season. Rubio enjoyed a career year with Colorado in 2019. He was the club's second leading scorer with 11 goals in 25 starts among 26 appearances—all MLS career highs. In 2020, Rubio appeared in 17 matches, starting 13, in the regular season and playoffs. Rubio scored three goals, including game-winning goals on 12 Sep against
Real Salt Lake and 8 Nov at
Houston Dynamo. He also added four assists, including game-winning assists on Opening Day against
D.C. United and on 4 Nov to clinch a playoff berth at
Portland Timbers. Rubio was named to the MLS Team of the Week in Weeks 11 and 24. Rubio left Colorado following their 2023 season.
Austin FC On 5 February 2024, Rubio signed as a free agent with
Austin FC on a one-year deal. He left them at the end of the 2025 season.
Deportes La Serena Back to Chile, Rubio signed with
Deportes La Serena on 29 January 2026. ==International career==