A connector with an anti-loose fastening device has a housing, a socket module mounted inside the housing, and a plug module. The housing has a front opening for the plug module to insert in the socket module so as to electrically connect therewith. The housing has an elastic finger. The elastic finger has a tooth extending downwardly from one end thereof, and an inwardly slanted surface facing the front opening. When the plug module inserts in the socket module, the tooth of the elastic finger inserts in a recess formed on the plug module so as to prevent the plug module from disengaging with the socket module inside the housing.