A linear guide device has a retaining piece (15) between two adjacent rollers (9). The retaining piece (15) has a retaining piece body (16) having left side-face section and a right side-face section that are parallel to the end face sections of the rollers (9), a first arm section (19) extending from the left side-face section of the retaining piece body (16) toward the end face sections of the two adjacent rollers (9) and fitting in a first guide groove (22) formed in one wall surface section of a circulation path (21), and a second arm section (20) provided on the right side-face section of the retaining piece body (16) so as to be parallel to the first arm section (19) and fitting in a second guide groove (23) formed in the other wall surface section of the circulation path (21). The heights of the retaining piece body (16) and the arm sections (19, 20) satisfy the conditional expression of (H1−H2)/2