A rolling bearing unit with a rotational speed sensor comprising a stationary outer ring having a first raceway, a rotatable inner ring having a second raceway, a plurality of rolling elements rotatably provided between the first and second raceways, a sensor support case having a step portion for axial positioning, a detecting portion and a sensor mounted therein, an encoder having circumferentially changing magnetic characteristics and connected to the rotatable ring, a cover made of a synthetic resin, connected to the stationary ring, and having a fitting portion with respect to the outer ring, the fitting portion formed with a groove for mounting a seal ring therein, a mount hole for inserting part of the sensor support case therein, and a portion abutted to the step portion of the sensor support case for axial positioning, and an elastic member having a first portion engaged with the cover and a second portion engaged with the sensor support case to fix the sensor support case to the cover.