I want to create a new calendar "on my mac" but the item is missing in calendar.app v. 8

To create local calendar on Yosemite (when no such option is available via File menu) navigate to calendar in Other section in the sidebar, select one and right click, then select New Calendar. This should create calendar in On My Mac section (local).

As an addendum to the above, if the Other section is not visible in the sidebar, go to Preferences and select the General icon.

Now select the Show Birthdays Calendar or Show Holidays Calendar (or both) and close the Preferences pane. The Other section is now added below the iCloud section.

You can now right-click in the Other section, select New Calendar and an untitled calendar is created in the On My Mac section above the iCloud section.

I find this very useful if I need an application to run at a specific time each day on one specific Mac and not on any others. This also prevents alerts from appearing on other devices such as iPhone or iPad where they would have no significance.

The other answers didn't work for me until I hid all the other calendar groups by hovering over them to show the hide button. Then I right clicked to create a new calendar.

Just had this problem with a new MacBook running Sierra. I tried disabling iCloud Calendars but as soon as it was enabled my local calendars were moved to iCloud.

Finally was able to do it, by selecting on of the calendars inside Other (i.e. Found in Apps) and then doing File -> New Calendar.