The Luttinger-Ward functional Φ [G], which expresses the thermodynamic grand potential in terms of the interacting single-particle Green's function G, is found to be ill-defined for fermionic models with the Hubbard on-site interaction. In particular, we show that the self-energy Σ[G] ∝ δΦ[G]/δG is not a single-valued functional of G: in addition to the physical solution for Σ [G], there exists at least one qualitatively distinct unphysical branch. This result is demonstrated for several models: the Hubbard atom, the Anderson impurity model, and the full two-dimensional Hubbard model. Despite this pathology, the skeleton Feynman diagrammatic series for Σ in terms of G is found to converge at least for moderately low temperatures. However, at strong interactions, its convergence is to the unphysical branch. This reveals a new scenario of breaking down of diagrammatic expansions. In contrast, the bare series in terms of the non-interacting Green's function G0 converges to the correct physical branch of Σ in all cases currently accessible by diagrammatic Monte Carlo. Besides their conceptual importance, these observations have important implications for techniques based on the explicit summation of diagrammatic series.