Lie groups appear in many fields from Medical Imaging to Robotics. In Medical Imaging and particularly in Computational Anatomy, an organ's shape is often modeled as the deformation of a reference shape, in other words: as an element of a Lie group. In this framework, if one wants to model the variability of the human anatomy, e.g. in order to help diagnosis of diseases, one needs to perform statistics on Lie groups. A Lie group G is a manifold that carries an additional group structure. Statistics on Riemannian manifolds have been well studied with the pioneer work of Fréchet, Karcher and Kendall [1, 2, 3, 4] followed by others [5, 6, 7, 8, 9]. In order to use such a Riemannian structure for statistics on Lie groups, one needs to define a Riemannian metric that is compatible with the group structure, i.e a bi-invariant metric. However, it is well known that general Lie groups which cannot be decomposed into the direct product of compact and abelian groups do not admit a bi-invariant metric. One may wonder if removing the positivity of the metric, thus asking only for a bi-invariant pseudo-Riemannian metric, would be sufficient for most of the groups used in Computational Anatomy. In this paper, we provide an algorithmic procedure that constructs bi-invariant pseudo-metrics on a given Lie group G . The procedure relies on a classification theorem of Medina and Revoy. However in doing so, we prove that most Lie groups do not admit any bi-invariant (pseudo-) metric. We conclude that the (pseudo-) Riemannian setting is not the richest setting if one wants to perform statistics on Lie groups. One may have to rely on another framework, such as affine connection space.