Here's why:
* Celestial Poles: These are the points in the sky directly above the Earth's geographic poles.
* Zenith: The zenith is the point in the sky directly overhead an observer.
Therefore, to have a celestial pole at your zenith, you must be standing directly below that celestial pole, which is only possible at the Earth's North Pole (for the North Celestial Pole) and South Pole (for the South Celestial Pole).
At these locations:
* The celestial pole would be directly overhead (your zenith).
* All stars would appear to circle around the celestial pole, never setting.