Sizes of internal screw

Length of the screw is 35mm, diameter is 4mm.

@vojtechhruska

Are you sure that the screw is 4mm diameter and not that you measured the head of the screw?

The diameter is the width of the threads of the screw from side to side.

Start at the tip of the screw and measure back 25mm and count how many threads there are for that distance.

The above information will give you the thread measurement.

Also measure the diameter of the screw head as well as these can vary in size even though the screw diameter is the same.

The screw is a cheesehead type so you need to know if the head of the new screw will also fit in

If the diameter of the screw is 4mm look for an M4 x 35mm x (insert thread count value worked out from above) self tapping screw

Go to a hardware or electronics parts store and check out what M4 screws they have. Maybe take the steering wheel with you to see if it fits. It can be a straight, torq, Philips, tamperproof type etc so it's up to you to choose depending on what type of screwdrivers you have.