In this paper we present the optical, near-infrared (NIR) and X-ray identifications of the 6287 radio sources detected in the 2.1 GHz deep radio survey down to a median rms of ~ 41microJy/beam obtained with the Australia Telescope Compact Array (ATCA) in the XXL-S field. The goal of this paper is to provide a multi wavelength catalogue of the counterparts of the radio sources to be used in further studies. For the optical and NIR identification of the radio sources, we used the likelihood ratio (LR) technique, slightly modified in order to take into account the presence of a large number of relatively bright counterparts close to the radio sources. This procedure led to the identification of optical/NIR counterparts for 4770 different radio sources (~77% of the whole radio sample), 414 of which also have an X-ray counterpart. This fraction of identification is in agreement with previous radio-optical association studies at a similar optical magnitude depth, but is relatively low in comparison to recent work conducted in other radio fields using deeper optical and NIR data. The analysis of optical and NIR properties of radio sources shows that, regardless of the radio flux limit of a radio survey, the nature of the identified sources is strongly dependent on the depth of the optical/NIR used in the identification process. Only with deep enough optical/NIR data will we be able to identify a significant fraction of radio sources with red (z_{DEC}-K) counterparts whose radio emission is dominated by nuclear activity rather than starburst activity.