A wheel speed detecting apparatus incorporating a wheel speed detecting apparatus has an inner ring axially secured on a wheel hub. A protecting cover, with a substantially dish-shaped configuration, is press-formed from a non-magnetic austenitic stainless steel sheet. The cover includes a cylindrical fitting portion adapted to be fit onto the outer member. A disc-shaped shielding portion extends radially inward from the fitting portion. A bottom portion extends from the shielding portion, via an inclined portion, to close the inner side end of the inner member. The protecting cover is positioned to abut against a stepped portion formed on the end face or the inner circumference of the outer member.