Two or more arcuate members (2A, 2B), each having a plurality of pockets (3) defined therein for accommodating corresponding rollers, are placed one above the other to form a ring shaped assembly and are subsequently connected non-separably together by means of a retention ring (4) to thereby complete the cage (1). The arcuate members (2A, 2B) are so connected together that its inner periphery may assume a position radially inwardly of the outer diameter of a shaft such that in a condition having been assembled onto the shaft, they can displace in a direction radially outwardly against an elastic compressive force of the retention ring (4) to invite a circumferential gap (S) at each joint between the arcuate members (2A, 2B).