The transverse momentum distribution of massive neutral vector bosons can be measured to high accuracy at hadron colliders. The transverse momentum is caused by a partonic recoil, and is determined by QCD dynamics. We compute the single and double-differential transverse momentum distributions for fully inclusive $Z/\gamma^*$ production including leptonic decay to next-to-next-to-leading order (NNLO) in perturbative QCD. We also compute the same distributions normalised to the cross sections for inclusive $Z/\gamma^*$ production, i.e. integrated over the transverse momentum of the lepton pair. We compare our predictions for the fiducial cross sections to the 8 TeV data set from the ATLAS and CMS collaborations, which both observed a tension between data and NLO theory predictions, using the experimental cuts and binning. We find that the inclusion of the NNLO QCD effects does not fully resolve the tension with the data for the unnormalised $p^Z_T$ distribution. However, we observe that normalising the NNLO $Z$-boson transverse momentum distribution by the NNLO Drell-Yan cross section substantially improves the agreement between experimental data and theory, and opens the way for precision QCD studies of this observable.