Device-independent quantum key distribution (DIQKD) represents a relaxation of the security assumptions made in usual quantum key distribution (QKD). As in usual QKD, the security of DIQKD follows from the laws of quantum physics, but contrary to usual QKD, it does not rely on any assumptions about the internal working of the quantum devices used in the protocol. In this paper, we present in detail the security proof for a DIQKD protocol introduced in Acín et al (2008 Phys. Rev. Lett. 98 230501). This proof exploits the full structure of quantum theory (as opposed to other proofs that exploit only the no-signaling principle), but only holds against collective attacks, where the eavesdropper is assumed to act on the quantum systems of the honest parties independently and identically in each round of the protocol (although she can act coherently on her systems at any time). The security of any DIQKD protocol necessarily relies on the violation of a Bell inequality. We discuss the issue of loopholes in Bell experiments in this context.