To provide a wheel bearing device that protects a magnetic encoder while improving air tightness of a fitting part between a protection cover and an outer member, and regulates an increase in air gap in consideration of deformation of the protection cover to improve accuracy and reliability of detecting rotation speed.

The protection cover 10 formed by pressing a non-magnetic steel plate includes: a cylindrical fitting part 10a to be press-fitted to an inner circumferential surface 2d at the end of the outer member 2; a disk-like shielding part 10c extending radially inward across a reduced-diameter part 10b and allowing a rotation speed sensor 16 to be brought close to or into contact with a side surface on the inner side; and a bottom part 10e for closing the end on the inner side of an inner member across a stepped part 10d. The shielding part 10c is inclined at a predetermined angle toward the outer side. The allowable total run-out of the side surface of the shielding part 10c is regulated to be equal to or smaller than 0.15 mm under the same load as when the protection cover 10 is press-fitted to the outer member 2.