Gosha Arinich is right, you should return your <li> element. But, nevertheless, you should get nasty red warning in the browser console in this case

Each child in an array or iterator should have a unique "key" prop.

so, you need to add "key" to your list:

this.state.data.map(function(item, i){
  console.log('test');
  return <li key={i}>Test</li>
})

or drop the console.log() and do a beautiful oneliner, using es6 arrow functions:

this.state.data.map((item,i) => <li key={i}>Test</li>)

IMPORTANT UPDATE:

The answer above is solving the current problem, but as Sergey mentioned in the comments: using the key depending on the map index is BAD if you want to do some filtering and sorting. In that case use the item.id if id already there, or just generate unique ids for it.