A major challenge in designing a perfect invisibility cloak for elastic waves is that the mass density and elasticity tensor need to be independent functions of its radius with a linear transformation medium. The traditional cloak for out-of-plane shear waves in elastic membranes exhibits material properties with inhomogeneous and anisotropic shear moduli and densities, which yields a poor or even negative cloaking efficiency. This paper presents the design of a cylindrical cloak for elastic shear waves based on a nonlinear transformation. This excellent broadband nonlinear cloak only requires variation of its shear modulus, while the density in the cloak region remains unchanged. A nonlinear ray trajectory equation for out-of-plane shear waves is derived and a parameter to adjust the efficiency of the cylindrical cloak is introduced. Qualities of the nonlinear invisibility cloak are discussed by comparison with those of a cloak with the linear transformation. Numerical examples show that the nonlinear cloak is more effective for shielding out-of-plane elastic shear waves from outside the cloak than the linear cloak and illustrate that the nonlinear cloak for shear waves remains highly efficient in a broad frequency range. The proposed nonlinear transformation in conjunction with the ray trajectory equation can also be used to design nonlinear cloaks for other elastic waves.