Lipase immobilized on Yarrowia lipolytica cell debris after sonication of yeast cells (LipImDebri) was used in hydrolysis reaction as a novel strategy to produce lipolyzed milk fat (LMF). Extracellular (4732.1 U/L), intracellular (130.0 U/g), and cell debris (181.0 U/g) lipases were obtained in a 4 L bioreactor using residual frying oil as inducer in 24 h fermentation process. LipImDebri showed a good operational stability retaining 70% of lipolytic activity after the second cycle and 40% after the fourth. The highest degree of hydrolysis (28%) was obtained with 500 mg LipImDebri for 6 h of lipolysis of anhydrous milk fat. LMF produced with LipImDebri presented high contents of oleic (35.2%), palmitic (25.0%), and stearic (15.4%) acids and considerable amounts of odor-active short and medium chain fatty acids (C:4–C:10) (8.13%).