A wheel bearing includes a sealing device 5 positioned between inner and outer members 1 and 2. This sealing device 5 includes an elastic member 14, which eventually forms an encoder grid and is provided on a first annular sealing plate 11. A second annular sealing plate 12 is provided with sealing lips 16a to 16c. An engagement 18 between a cylindrical wall 11a of the first annular sealing plate 11 and the inner member 1 is provided with an elastic member 20 made of a material dissimilar to that for the elastic material 14. This elastic member 20 may be a rubber coated layer, resin paint layer, a thin film of adhesive material or a ring-shaped rubber member. Thereby, any possible ingress of water across an engagement surface of the annular sealing plate is prevented, accompanied by increase of the lifetime of the bearing, with no problem associated with separation and displacement of the annular sealing plates. The magnetic flux density can also be easily secured.