Uncertainty quantification for individual treatment effects (ITEs) is a daunting challenge in causal inference. Motivated by recent advances in conformal prediction, several works aim to construct distribution-free prediction sets for ITEs with desired coverage under standard assumptions such as strong ignorability and overlap. In this paper, we show that such goals are fundamentally unattainable. Specifically, we establish finite-sample and asymptotic impossibility results demonstrating that any distribution-free prediction set achieving desired coverage for ITEs must be trivial, in the sense that it has infinite expected length. This infinite-expected-length conclusion requires no regularity assumption on the covariates and holds even in their absence. Our analysis builds on ideas from the hardness of conditional independence testing and exploits the missing-data nature of causal inference. These results provide a new perspective on existing methods, clarifying that their apparent success necessarily relies on additional structural assumptions beyond standard causal assumptions.

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