A method for making a detection device (2) for detecting a position of a movable rod (4) of a pneumatic actuator (1) comprises a step of taking a first body (17) comprising a connecting portion (19), a supporting portion (20), an electrical connector (21), a detection sensor (15) for detecting a magnetic field and electrical connecting means (22). The method then comprises a step of taking a second body (18) comprising a housing (14) in which the supporting portion (20) can be inserted, a step of inserting the supporting portion (20) and the detection sensor (15) positioned on it in the housing (14) and a step of irremovably constraining the first body (17) to the second body (18). The first body (17) and the second body (18) comprise, one at least one projecting element (25) and the other at least one corresponding hole (26); during the insertion step the projecting element (25) is inserted in the hole (26). During the constraining step the first body (17) is irremovably constrained to the second body (18) by plastically deforming the projecting element (25) to prevent it from being extracted from the hole (26) in which it is inserted.