This paper illustrates the technologies of user next intent prediction with a concept knowledge graph. The system has been deployed on the Web at Alipay, serving more than 100 million daily active users. Specifically, we propose AlipayKG to explicitly characterize user intent, which is an offline concept knowledge graph in the Life-Service domain modeling the historical behaviors of users, the rich content interacted by users and the relations between them. We further introduce a Transformer-based model which integrates expert rules from the knowledge graph to infer the online user's next intent. Experimental results demonstrate that the proposed system can effectively enhance the performance of the downstream tasks while retaining explainability.