You must beat EVERY Millenium Guard to get back the Millenium Items. Where they all are is up to you to find out.

Item	How to unlock
Millennium Eye	You must beat The Millennium Guard in China.
Millennium Key	You must beat The Millennium Guard at the Domino Pier.
Millennium Necklace	You must beat The Millennium Guard at the Egypt Exhibition.
Millennium Puzzle	You must beat Bandit Keith.
Millennium Ring	You must beat The Millennium Guard in Italy.
Millennium Rod	You must beat The Millennium Guard in Canada.
Millennium Scale	You must beat The Mimic of Doom in Galapagos.