An annular recess is formed in a vehicle inner side of a wheel rolling bearing device. A protective cover is attached to an inner ring disposed in a bottom side of the recess to protect an annular magnetic encoder. A cover body of the protective cover is formed with an annular first disk portion covering the magnetic encoder, a cylindrical portion extending from a radial outer end of the first disk portion and fitted into an inner circumferential wall of the recess, and a second disk portion extending radially outward from an upper end of the cylindrical portion and covering the end portion of the outer ring located around the recess. The cover body is formed with a to-be-separated portion constituted by at least one of half-cut grooves and perforations extending in a radial direction of the cover body. The cover body is formed with lugs which are projected from the second disk portion.