Hello Adrien Gzz,
There is not a default tool for creating a mailing list within the cPaneol. That is done via third party programs such as phpList. This program can be installed via the Fantastico tool in your cpanel if you have one, or can be done manually if you do not.
I hope this answers your question. If you have any more questions or information specific to the issue please leave a comment below so we can further assist you.
Best Regards,
Scott M