In this paper, we explore the 256 elementary cellular automata rules by a Walsh transform in order to find correlation-immune rules for generating good pseudo-random sequences. We prove that, except the 8 linear rules, there is no correlation-immune rule among the 256 rules. Thus, elementary cellular automata cannot be used as a cryptographic pseudo-random generator since the generated pseudo-random sequences are susceptible of correlation attacks. We conclude with some remarks on cryptography with cellular automata.