A connection device for at least one coaxial cable, comprising a body (2,2',2") configured to house one end of the coaxial cable, the body (2,2',2") comprising at least one hole (4,5) configured to be crossed through by the corresponding coaxial cable in an insertion direction, and retention means configured to retain the coaxial cable inside the body (2,2',2"), with the retention means comprising at least one retention element movable between a first position and a second position, the retention element comprising an opening, the retention element being configured to be crossed through by the corresponding coaxial cable in the insertion direction through said opening when the retention element is arranged in the first position wherein said opening is arranged aligned with the respective hole (4,5) of the body (2,2',2"), the retention element being configured to trap the coaxial cable against the body (2,2',2") in the second position wherein the opening is arranged off-centre with respect to the respective hole (4,5) of the body (2,2',2"), wherein the retention means comprise elastic means configured to maintain the retention element in the second position, wherein the body (2,2',2") comprises at least two holes (4,5) configured to be crossed through by the corresponding coaxial cable, said holes being arranged (4,5) aligned with each other defining the insertion direction for the coaxial cable, and a cavity which communicates both holes (4,5) with each other, and wherein one of the holes of the body (2,2',2") includes a stop which divides the hole into a first portion configured to house the coaxial cable and a second portion with a smaller diameter than the first portion and which is configured to house a core and an insulating element of the coaxial cable, characterised in that: the retention element is arranged at least partially housed in the cavity, the retention element being movable in the cavity; and the stop is a wedge-shaped rotation surface which extends towards the inside of the hole, the stop being configured to be introduced between the insulating element and a shielding of the coaxial cable increasing the contact between the shielding and the body. wherein the retention means comprise elastic means configured to maintain the retention element in the second position, wherein the body (2,2',2") comprises at least two holes (4,5) configured to be crossed through by the corresponding coaxial cable, said holes being arranged (4,5) aligned with each other defining the insertion direction for the coaxial cable, and a cavity which communicates both holes (4,5) with each other, and wherein one of the holes of the body (2,2',2") includes a stop which divides the hole into a first portion configured to house the coaxial cable and a second portion with a smaller diameter than the first portion and which is configured to house a core and an insulating element of the coaxial cable, characterised in that: the retention element is arranged at least partially housed in the cavity, the retention element being movable in the cavity; and the stop is a wedge-shaped rotation surface which extends towards the inside of the hole, the stop being configured to be introduced between the insulating element and a shielding of the coaxial cable increasing the contact between the shielding and the body. the retention element is arranged at least partially housed in the cavity, the retention element being movable in the cavity; and the stop is a wedge-shaped rotation surface which extends towards the inside of the hole, the stop being configured to be introduced between the insulating element and a shielding of the coaxial cable increasing the contact between the shielding and the body.