Upon returning to Denmark, Rolf began working for Danish furniture company Paustian, and then for Gubi, where he met his wife Mette Hay. During a project for clothing company Bestseller, Rolf met Troels Holch Povlsen, who shared the dream of starting a furniture company that Rolf and Mette had been fostering together. Mutual enthusiasm and values led the three of them to define a mission statement in which they committed to collaborate with the best international designers of their own generation to produce high-quality, affordable products.

Based upon this ambition, they established HAY in September of 2002, launching the first HAY collection of furniture at IMM Cologne in January 2003. Over the years, their successful partnership would reach beyond the bounds of furniture into the realms of lighting and accessories, and expand in range and scope on the international stage.

In 2018, a new collaboration led US-based designer and furniture manufacturer Herman Miller Inc. to acquire a third of HAY, along with the rights to distribute it in North America. Today, Rolf Hay continues his role as both co-founder and creative director of HAY furniture, working closely with Mette in all aspects of design, production, and development across the brand.