I contacted the store where I purchased the components and I'm waiting for the delivery company to take back the components.
A friend of mine has purchased an arduino Uno and the same XBEE module that I have, the shield is the Wireless shield official from Arduino,(mine was the SD Wireless shield).
The thing is that I connected the 2 shields with the two XBEE modules, one at a time, on both arduinos and I've got the same problem.
I forgot to mention that the XBEE wifi module has a current peak when powering up of 750mA, the peak takes almost no time (page 17 on the XBEE manual)
Reading again the shield's datasheet I noticed that the maximum current draw is 800mA (voltage regulator).
Could it be that the voltage regulator is causing the problem?