Magnetic field fluctuations in the frequency range [0.02–12.5] Hz are studied with the four Cluster satellites in the Earth magnetosheath downstream of a quasi-perpendicular bow shock. The turbulent spectrum presents a spectral break accompanied by a broad maximum usually interpreted as due to Alfvén ion cyclotron waves. In this paper we establish that this spectral knee corresponds to space-localized coherent magnetic structures in the form of Alfvén vortices. The Alfvén vortex is a nonlinear cylindrical Alfvén wave, quasi-parallel to the mean magnetic field B0 and propagating in a plane perpendicular to B0. In this plane the observed vortices are localized within 20c/ωpi. The frequent observations of such structures indicate their stability in the plasma. Therefore the Alfvén vortices can be an important element in the magnetosheath turbulence. The possible origins of these vortices, such as a strong turbulence or the filamentation instability of an Alfvén wave, are discussed.