The anti-friction bearing has an outer bearing ring, an inner bearing ring and rolling bodies that are located between the bearing rings. The race of the outer bearing ring and the inner bearing ring are laterally delimited by two continuous rims that are formed as one piece with the races. The bearing is filled with the rolling bodies through the free space between the two rims. A partial quantity of the rolling bodies is made of a shape memory alloy, the cross-section of the bodies being deformed to fit the dimensions of the free space between the rims. After introduction into the bearing and once they have reached a specific temperature, the bodies regain their original shape.