In this paper, we propose a method that can construct efficiently a P2P overlay multicast network composed of many heterogeneous peers in communication bandwidth, processing power and a storage size by selecting a peer in a distributed fashion using an ant-colony theory that is one of the computational intelligence methods. The proposed method considers not only the capacity of a peer but also the number of children peers supported by the peer and the hop distance between a multicast source and the peer when selecting a parent peer of a newly joining node. Thus, an P2P multicast overlay network is constructed efficiently in that the distances between a multicast source and peers are maintained small. In addition, the proposed method works in a distributed fashion in that peers use their local information to find a parent node. Thus, compared to a centralized method where a centralized server maintains and controls the overlay construction process, the proposed method scales well. Through simulations, we show that, by making a few high capacity peers support a lot of low capacity peers, the proposed method can maintain the size of overlay network small even there are a few thousands of peers in the network.