We study the nonlocal response of a confined electron gas within the hydrodynamical Drude model. We address the question as to whether plasmonic nanostructures exhibit nonlocal resonances that have no counterpart in the local-response Drude model. Avoiding the usual quasistatic approximation, we find that such resonances do indeed occur, but only above the plasma frequency. Thus the recently found nonlocal resonances at optical frequencies for very small structures, obtained within quasistatic approximation, are unphysical. As a specific example we consider nanosized metallic cylinders, for which extinction cross sections and field distributions can be calculated analytically.