Computational electron paramagnetic resonance (EPR) spectroscopy is an important field of applied quantum chemistry that contributes greatly to connecting spectroscopic observations with the fundamental description of electronic structure for open-shell molecules. However, not all EPR parameters can be predicted accurately and reliably for all chemical systems. Among transition metal ions, Cu(II) centers in inorganic chemistry and biology, and their associated EPR properties such as hyperfine coupling and g-tensors, pose exceptional difficulties for all levels of quantum chemistry. In the present work, we approach the problem of Cu(II) g-tensor calculations using double-hybrid density functional theory (DHDFT). Using a reference set of 18 structurally and spectroscopically characterized Cu(II) complexes, we evaluate a wide range of modern double-hybrid density functionals (DHDFs) that have not been applied previously to this problem. Our results suggest that the current generation of DHDFs consistently and systematically outperform other computational approaches. The B2GP-PLYP and PBE0-DH functionals are singled out as the best DHDFs on average for the prediction of Cu(II) g-tensors. The performance of the different functionals is discussed and suggestions are made for practical applications and future methodological developments.