Second harmonic generation in graphene has been theoretically studied. Phenomenological analysis based on symmetry arguments is carried out. It is demonstrated that second harmonic generation in ideal graphene samples is possible only if the radiation wave vector or its magnetic field is taken into account. Microscopic theory is developed for the classical regime of radiation interaction with electrons, where the photon energy is much lower than the characteristic energy of charge carriers. It is demonstrated that the emitted radiation can be strongly circularly polarized for the linearly polarized incident wave.