A wheel rolling bearing unit comprising: - a rolling bearing which is attached to an outer circumference of a hub shaft of a hub wheel to which a wheel is to be attached, and includes an outer ring; and - a cover member fitted in one end side opening of the outer ring of the rolling bearing, - wherein the cover member includes a metallic cover main body having integrally a lid portion and a cylindrical portion which projects in an axial direction from an outer circumferential edge of the lid portion, - wherein the cover member includes an elastic covering material having elasticity which covers the outer circumferential surface of the lid portion and of the cylindrical portion of the cover main body, - wherein, in a state resulting before the cover member is fitted in the one end side opening of the outer ring, an outside diameter dimension of a cylindrical portion elastic layer of the elastic covering material, which covers an outer circumferential surface of the cylindrical portion of the cover main body, is set to be larger than an inside diameter dimension of an inner circumferential surface of the one end side opening of the outer ring, - wherein, in an attached state in which the cover member is fitted in the inner circumferential surface of the one end side opening of the outer ring, the cylindrical portion elastic layer is elastically compressed to be brought into close contact with the inner circumferential surface of the one end side opening of the outer ring, characterized in that an annular recess portion is formed on the outer circumferential surface of the cylindrical portion, - wherein the cylindrical elastic layer is filled and held in the annular recess portion and makes a filled portion of the annular recess portion into a thick elastically deformable portion, - wherein a distal end portion of the cylindrical portion elastic layer has a thin thickness dimension (t) and is integrally joined to an outer circumferential surface of a distal end side of the cylindrical portion of the cover main body, and - wherein an outside diameter dimension of the distal end portion which is a sum of an outside diameter dimension of the cylindrical portion of the cover main body and the thickness dimension (t) of the distal end portion is set in such a manner as to be smaller than the outside diameter dimension of the elastically deformable portion and be substantially the same as the inside diameter dimension of the inner circumferential surface of the outer ring. - a rolling bearing which is attached to an outer circumference of a hub shaft of a hub wheel to which a wheel is to be attached, and includes an outer ring; and - a cover member fitted in one end side opening of the outer ring of the rolling bearing, - wherein the cover member includes a metallic cover main body having integrally a lid portion and a cylindrical portion which projects in an axial direction from an outer circumferential edge of the lid portion, - wherein the cover member includes an elastic covering material having elasticity which covers the outer circumferential surface of the lid portion and of the cylindrical portion of the cover main body, - wherein, in a state resulting before the cover member is fitted in the one end side opening of the outer ring, an outside diameter dimension of a cylindrical portion elastic layer of the elastic covering material, which covers an outer circumferential surface of the cylindrical portion of the cover main body, is set to be larger than an inside diameter dimension of an inner circumferential surface of the one end side opening of the outer ring, - wherein, in an attached state in which the cover member is fitted in the inner circumferential surface of the one end side opening of the outer ring, the cylindrical portion elastic layer is elastically compressed to be brought into close contact with the inner circumferential surface of the one end side opening of the outer ring, - wherein the cylindrical elastic layer is filled and held in the annular recess portion and makes a filled portion of the annular recess portion into a thick elastically deformable portion, - wherein a distal end portion of the cylindrical portion elastic layer has a thin thickness dimension (t) and is integrally joined to an outer circumferential surface of a distal end side of the cylindrical portion of the cover main body, and - wherein an outside diameter dimension of the distal end portion which is a sum of an outside diameter dimension of the cylindrical portion of the cover main body and the thickness dimension (t) of the distal end portion is set in such a manner as to be smaller than the outside diameter dimension of the elastically deformable portion and be substantially the same as the inside diameter dimension of the inner circumferential surface of the outer ring.