A rolling bearing with sensor has an inner ring, an outer ring, rolling elements rollably disposed between the inner ring and the outer ring, a sensor provided on one of the inner ring and the outer ring and a detection member provided on the other of the inner ring and the outer ring radially opposed to the sensor which is adapted to be sensed by the sensor. A first retaining member is fixed to the outer ring end surface of the outer ring and retains one of the sensor and the detection member. A second retaining member is fixed to the inner ring end surface of the inner ring and retains the other of the sensor and the detection member. At least one of the inner end surface and the outer end surface is arranged so as to be pressed axially without the sensor or the detection member.