An outer member (10) and an inner member (20) constituting a wheel bearing device are assembled and the brake rotor (40) is fixed to the hub ring (20A) of the inner member. In this state, the pad slide surfaces (40a,40b) of the brake rotor (40) are lathed with the reference provided by a wheel pilot end surface (23). Alternatively, the wheel pilot end surface (23) of the hub ring (20A) is lathed by chucking the knuckle pilot (16) of the outer member (10) with the wheel bearing device put in its assembled state, and the pad slide surfaces (40a,40b) of the brake rotor (40) are lathed with the reference provided by the wheel pilot end surface (23).