Born in Sion, Rey played his youth football and began playing football professionally in 1991 with local club FC Sion, helping the club win the Swiss Cup in 1991 and the Swiss championship in the 1991–92 Nationalliga A season.
Although he was a success during his first spell at the club, Rey struggled to win a place in the starting eleven, playing just five games in six months, and left for Servette FC in January 1997.
He was a major hit at Servette, playing the best football of his career and earning a call-up to the Switzerland squad.
After making 132 appearances and scoring 54 goals for the club, Rey left to join FC Luzern in January 2001.
He made a comeback to the national team when he replaced the suspended Alexander Frei and scored a hat-trick in the match against the Faroe Islands on 4 September 2004.