We investigate the effects of general relativity upon the non-axisymmetric ``bar'' mode secular instability of rapidly rotating stars, i.e. the relativistic and compressible analog of the transition from Maclaurin spheroids to Jacobi ellipsoids. Our method consists in perturbing a stationary axisymmetric configuration, constructed by a 2-D general relativistic numerical code, and taking into account only the dominant terms in the non-axisymmetric part of the 3-D relativistic equations. For a polytropic equation of state, we have determined, as a function of the degree of relativity, the critical adiabatic index $gamma_{
m crit}$ above which rapidly rotating stars can break their axial symmetry. A by-product of the present study is the confirmation of the Newtonian value $gamma_{
m crit} = 2.238$ obtained by James (1964). We have also considered neutron star models contructed upon twelve nuclear matter equations of state taken from the literature. We found that five equations of state from this sample allow the symmetry breaking for sufficiently high rotation velocities. For the others, the Keplerian velocity (mass-shedding from the equator) is reached before the axisymmetry is broken. Rotating neutron stars that break their axial symmetry can be an important source of gravitational waves for the LIGO/VIRGO interferometric detectors.