I have a project in mind that consist of two arduinos wireless connected that are able to send a really little amount of data (whe a button is pressed or released) in less than 40 miliseconds.
You want to send "a really little amount of data" in 1/25th of a second. Typically you would be sending 8 data bits, 1 start bit and 1 stop bit for a total of 10 bits. That would come to 250 bits per second which is quite slow. If it's line-of-sight you could probably do it with infrared.
The radio you point to is capable of 4800 bits per second so you could send about 19 bytes in 40 milliseconds. That should be enough to include framing, redundancy and checking data to overcome the sensitivity to noise.
How important is it that the data get to the destination? Is "most of the time" OK?
FYI, using S2 XBees I usually see around 25-30ms for the round trip, i.e. sending the data and getting the acknowledgement back. I've also seen the first transmission after power-on take considerably longer, 500-1000ms; this may be due to initial network discovery.