We evaluate the construction methodology of an all-sky catalogue of galaxy clusters detected through the Sunyaev-Zel'dovich (SZ) effect. We perform an extensive comparison of twelve algorithms applied to the same detailed simulations of the millimeter and submillimeter sky based on a Planck-like case. We present the results of this "SZ Challenge" in terms of catalogue completeness, purity, astrometric and photometric reconstruction. Our results provide a comparison of a representative sample of SZ detection algorithms and highlight important issues in their application. In our study case, we show that the exact expected number of clusters remains uncertain (about a thousand cluster candidates at vertical bar b vertical bar > 20 deg with 90% purity) and that it depends on the SZ model and on the detailed sky simulations, and on algorithmic implementation of the detection methods. We also estimate the astrometric precision of the cluster candidates which is found of the order of similar to 2 arcmin on average, and the photometric uncertainty of about 30%, depending on flux.