You should do a get info on the disk in Finder (control click it on the desktop or in the finder sidebar and select get info). In format it should say "Mac OS Extended (Journaled)". If it says NTFS, it will not work for Lightroom. If the format is wrong and the disk is still empty, go to your Disk Utility application (in Utilities in the applications folder) and erase the disk and select Mac OS Extended (Journaled) as the format. If you have files already on the disk, copy them off and reformat it in Disk Utility.
Most external hard disks come formatted for Windows and they need to be reformatted for use on a Mac. In principle you can leave a disk formatted as exFAT (a windows format that both operating systems can use) but its best to format it in a native format for the operating system you use.