The default kernel installed with Ubuntu 16.04 didn't recognized my Wi-Fi card. I found the solution on AskUbuntu: How do I get an Intel Wireless 3168 802.11ac wireless card to work?.
The solution is also documented in Ubuntu's documentation and consist in installing an up-to-date kernel on the LTS Ubuntu release:
- Install the new kernel:
sudo apt-get install linux-generic-hwe-16.04 xserver-xorg-hwe-16.04 --install-recommends
Then I was able to configure and use the Wi-Fi connection.