Disable Location Services completely
You can try to disable Location Services from System Preferences » Security & Privacy.

Remove the menu bar entry – Method 1
Other than that, if you still want to use location services, but don't want to see the menu bar, you can open a Finder window, press Cmd-G and enter the following location:
/System/Library/LaunchAgents
From this folder, move the file com.apple.locationmenu.plist somewhere else, e.g. your home folder. Then, reboot. To restore this, place the file back, and reboot.
Remove the menu bar entry – Method 2
Alternatively, run the following in a Terminal:
sudo launchctl unload -w /System/Library/LaunchAgents/com.apple.locationmenu
This will unload and store the setting. To reverse this, run the same command with load instead of unload.
Everything untested as I don't have OS X Lion.