Three-dimensionally (3D) frustrated magnets generally exist in the magnetic diamond and pyrochlore lattices, in which quantum fluctuations suppress magnetic orders and generate highly entangled ground states. LiYbSe2 in a previously unreported pyrochlore lattice was discovered from LiCl flux growth. Distinct from the quantum spin liquid (QSL) candidate NaYbSe2 hosting a perfect triangular lattice of Yb3+, LiYbSe2 crystallizes in the cubic pyrochlore structure with space group Fd3m (No. 227). The Yb3+ ions in LiYbSe2 are arranged on a network of corner-sharing tetrahedra, which is particularly susceptible to geometrical frustration. According to our temperature-dependent magnetic susceptibility measurements, the dominant antiferromagnetic interaction in LiYbSe2 is expected to appear around 8 K. However, no long-range magnetic order is detected in thermomagnetic measurements above 70 mK. Specific heat measurements also show magnetic correlations shifting with applied magnetic field with a degree of missing entropy that may be related to the slight mixture of Yb3+ on the Li site. Such magnetic frustration of Yb3+ is rare in pyrochlore structures. Thus, LiYbSe2 shows promise in intrinsically realizing disordered quantum states like QSL in pyrochlore structures.