Wrong: Il faut lui faire attention

Right: Il faut faire attention à lui, Il faut y faire attention

Explanation: "To pay attention to" is faire attention à in French. The object of the preposition à may be a person or a thing. If you are trying to say "we have to pay attention to him," you have to keep the preposition and use the disjunctive pronoun lui to replace the person, so the correct translation is il faut faire attention à lui.

When saying "we have to pay attention to it," the object is a thing, so you can't use lui - you can use cela/ça or y, so "we have to pay attention to it" would be either il faut faire attention à cela/ça or il faut y faire attention.