For a Lie group $G$, we show that the map $C^\infty_c(G)\times C^\infty_c(G)\to C^\infty_c(G)$, $(\gamma,\eta)\mapsto \gamma*\eta$ taking a pair of test functions to their convolution is continuous if and only if $G$ is $\sigma$-compact. More generally, consider $r,s,t \in \mathbb{N}_0\cup\{\infty\}$ with $t\leq r+s$, locally convex spaces $E_1$, $E_2$ and a continuous bilinear map $b\colon E_1\times E_2\to F$ to a complete locally convex space $F$. Let $\beta\colon C^r_c(G,E_1)\times C^s_c(G,E_2)\to C^t_c(G,F)$, $(\gamma,\eta)\mapsto \gamma *_b\eta$ be the associated convolution map. The main result is a characterization of those $(G,r,s,t,b)$ for which $\beta$ is continuous. Convolution of compactly supported continuous functions on a locally compact group is also discussed, as well as convolution of compactly supported $L^1$-functions and convolution of compactly supported Radon measures.