I tried installing Ubuntu 11.04 on physical machine selecting UEFI mode. It displays GRUB menu and nothing gets displayed. Any idea if Ubuntu 11.04 supports UEFI mode? if yes, how shall I make it work. When I am trying the default BIOS mode, it works fine.
Ubuntu does support EFI-mode booting, but this support is still relatively new, and EFI implementations vary greatly from one machine to another. Without further details, it's impossible to say why you're having problems. I recommend you post the following information:
Another point: Ubuntu 12.04 makes significant improvements in its EFI support vs. 11.10 and earlier. I can't recommend you try to use 11.10 or earlier in EFI mode.
One more point: It's relatively easy in Linux (compared to Windows) to switch between EFI-mode and BIOS-mode booting. Thus, you can install in BIOS mode and then switch to EFI-mode booting. This is most easily done if you install to a GPT disk and if you partition it with both an EFI System Partition (ESP) of 100-500 MiB and a BIOS Boot Partition of ~1 MiB.