A haemodiafiltration set (1) comprising a haemofiltration filter (2) and a haemodialysis filter (3) arranged in series to each other, an arterial line (4) for conveying the blood from a patient (P) to the haemofiltration filter (2), a venous line (5) for conveying the blood from the haemodialysis filter (3) to the patient (P), an inlet branch (6) and an outlet branch (7) for a dialysing solution respectively in and from the haemodialysis filter (3), means (4a, 6a, 7a) for conveying the blood and the dialysing solution, and a regeneration filter (8) suitable for treatment of the ultrafiltrate from the haeomfiltration filter (2) in order to reuse the ultrafiltrate as an infusion solution. The haemofiltration filter (2) comprises a haemofiltration membrane with cut-off greater than 45 KDa.