We present the final results obtained by the MACRO experiment in the search for GUT magnetic monopoles in the penetrating cosmic radiation, for the range 4 × 10-5 < β < 1. Several searches with all the MACRO sub-detectors (i.e. scintillation counters, limited streamer tubes and nuclear track detectors) were performed, both in stand alone and combined ways. No candidates were detected and a 90% Confidence Level (C.L.) upper limit to the local magnetic monopole flux was set at the level of 1.4 × 10-16 cm-2 s-1 sr-1. This result is the first experimental limit obtained in direct searches which is well below the Parker bound in the whole β range in which GUT magnetic monopoles are expected.