The energy saving problem of a variable air volume (VAV) system in heating, ventilation, and air-conditioning (HVAC) systems has an increasing attention. In this paper, we propose a distributed optimal dynamic duct static pressure method (DODSP) for the original non-convex energy saving problem in multi-zone variable air volume systems. Our method is based on the variable separation method and the alternating direction method of multipliers to solve an equivalent distributed convex problem. The whole system is fully distributed and each zone is controlled by an intelligent node. Every node makes the optimal control decision to meet the temperature setpoint. Our method is the first effort to solve the energy saving problem in a fully distributed manner and has the convergence guarantee. Even if the damper breaks down, the system can still be working. Numerical simulations on a distributed building simulation rig are given to illustrate the effectiveness of our method and compare with current centralized methods, which show that our method provides great flexibility and realizes the coordination among different zones. The energy saving can be up to 20%.