We report evidence of non-reciprocal dissipation-less transport in single ballistic InSb nanoflag Josephson junctions, owing to a strong spin-orbit coupling. Applying an in-plane magnetic field, we observe an inequality in supercurrent for the two opposite current propagation directions. This demonstrates that these devices can work as Josephson diodes, with dissipation-less current flowing in only one direction. For small fields, the supercurrent asymmetry increases linearly with the external field, then it saturates as the Zeeman energy becomes relevant, before it finally decreases to zero at higher fields. We show that the effect is maximum when the in-plane field is perpendicular to the current vector, which identifies Rashba spin-orbit coupling as the main symmetry-breaking mechanism. While a variation in carrier concentration in these high-quality InSb nanoflags does not significantly influence the diode effect, it is instead strongly suppressed by an increase in temperature. Our experimental findings are consistent with a model for ballistic short junctions and show that the diode effect