To avoid an adherence of metallic particles from a knuckle to a magnetic encoder during coupling of a wheel support bearing assembly to the knuckle and/or transportation of the wheel support bearing assembly, a protective cap (18) is provided. The wheel support bearing assembly with which the protective cap (18) can be used is of a type including a magnetic encoder (10) provided in a sealing unit (5). This protective cap (18) includes an annular cover-up portion (18a) for enclosing an annular surface of the magnetic encoder (10) that is exposed bare to the outside, and an engagement wall (18b). The engagement wall (18b) is integral with the annular cover-up portion (18a) and of a cylindrical shape capable of being removably engaged in the wheel support bearing assembly.