The holding device has a holder with a bore and a threaded section at one end. It has a clamping sleeve body with a central bore to take a pressure-biased socket holding the shaft of the tool. A piston is displaceable in a channel connected with the socket to increase the pressure of a flow medium in the channel and operate the socket. A nut screwing onto the tool holder displaces the piston and increases the pressure of the flow medium in the clamping sleeve when the nut is turned on the tool holder. An independent claim describes the clamping sleeve.