A cylinder undergoes precession when it rotates around its axis and this axis itself rotates around another direction. In a precessing cylinder fullof fluid, a steady and axisymmetric component of the azimuthal flow is generally present. This component is called a zonal flow. Although zonalflows have been often observed in experiments and numerical simulations, their origin has eluded theoretical approaches so far. Here,we develop an asymptotic analysis to calculate the zonal flow forced in a resonant precessing cylinder. We find that the zonal flow originates from three different sources: (1) the nonlinear interaction of the inviscid Kelvin mode with its viscous correction; (2) the steady and axisymmetricresponse to the nonlinear interaction of the Kelvin mode with itself; and (3) the nonlinear interactions in the end boundary layers. In a precessingcylinder, two additional sources arise due to the equatorial Coriolis force and the forced shear flow. However, they cancel exactly. The study thusgeneralises to any Kelvin mode, forced by precession or any other mechanism. The present theoretical predictions of the zonal flow areconfirmed by comparison with numerical simulations and experimental results. We also show that the zonal flow is always retrograde in aresonant precessing cylinder. Although this result seems intuitive, to our knowledge it is the first proof. A retrograde zonal flow is also producedfor resonant Kelvin modes of azimuthal wavenumbers m=2, 3, and presumably higher.