A counterweight structure of a traffic cone contains a base pre-molded and placed into a conical mold so as to injection mold a conical post. The base includes a groove for connecting with the conical post, a connecting piece mounted around the groove, and a plurality of retaining tabs arranged on the connecting piece. Each retaining tab has a neck portion coupled with the groove, and between any two abutting retaining tabs is defined an elongated hole communicating with the connecting piece, two orifices are arranged on two sides of the neck of the each retaining tab and communicate with the connecting piece, such that when the conical post is injection molded to cover the base, the connecting piece, the plurality of retaining tabs and a plurality of retaining tabs horizontally retain together, and a plurality of orifices are provided to vertically connect the conical post and the base together.