The Italian fan favourite, who captured the 3,000m title on Saturday, was joined on the podium by Dutchwoman Merel Conijn, who claimed silver. Norway's Ragne Wiklund took bronze.
Competing in her fourth Olympics, Lollobrigida stopped the clock at six minutes 46.17, finishing 0.10 seconds ahead of Conijn in front of a roaring home crowd.
"To repeat myself again with the Olympic title is a dream," Lollobrigida said.
"This race, I wanted to be smarter. I spoke with my coaches because in the 3,000m you just go faster and faster. In the 5,000m you need to be a bit smarter. I couldn't start fast.
"After the race I was with my hands on my legs. I wanted to say thanks to the people, but I couldn't at first - I was dead," she added, laughing.
The result lifts Italy's Milano Cortina gold tally to six, one behind medal-table leaders Norway.
Lollobrigida, who celebrated her 35th birthday on the day she won the 3,000m gold, lined up in the sixth and final pair in the inner lane alongside Czech veteran Martina Sablikova, the two-times Olympic champion in the 5,000m.
The 38-year-old Sablikova, skating in her sixth and final Games, had skipped the 3,000m due to a viral infection.
Lollobrigida opened with blistering pace but, as the race wore on, she visibly battled fatigue. Still, she dug deep on the final lap, summoning every ounce of strength to deliver Italy's first-ever medal in the 5,000m event.
"I knew I was almost skating alone because I spoke with Martina and she wasn't feeling well," Lollobrigida said. "It was a race against the time, but also against myself.
"I knew I was in the green (leading), but also knew I had to be faster in the last three laps. My plan worked.
"I thought, I'm feeling well - just keep going. The last two, even the last three laps, I told myself, 'It's now or never.' At the finish line I saw the number one!"
It was her second Olympic title, adding to the silver in the 3,000m and bronze in the mass start she won at Beijing 2022.
Her latest triumph also marked Italy's fourth Olympic gold in speed skating.
A great-niece of the late film icon Gina Lollobrigida and cousin of Italy's Agriculture Minister Francesco Lollobrigida, she continues to elevate her name on sport's biggest stage.
Belgium's Sandrine Tas posted the fourth-fastest time, while Canada's Isabelle Weidemann - who came into the event with high expectations as the runner-up in the World Cup long-distance standings and a triple medallist in Beijing - had to settle for fifth.
Sablikova, meanwhile, faded to the 11th-fastest time.