A pneumatic tyre for vehicle wheels with a radially inner surface of a substantially toroidal conformation, includes at least one antenna provided with an electrically conductive elongated body in engagement with the radially inner surface through a plurality of constraint elements. Each pair of consecutive constraint elements identifies an orthodromic distance smaller than the length of the elongated-body portion between this pair of elements. Also described is a method of setting the antenna on the inner surface of the tyre.