The combination of on-board sensors measurements with different statistical characteristics can be employed in robotics for localization and control, especially in GPS-denied environments. In particular, most aerial vehicles are packaged with low cost sensors, important for aerial robotics, such as camera, a gyroscope, and an accelerometer. In this work, we develop a visual inertial odometry system based on the Unscented Kalman Filter (UKF) acting on the Lie group SE(3), such to obtain an unique, singularity-free representation of a rigid body pose. We model this pose with the Lie group SE(3) and model the noise on the corresponding Lie algebra. Moreover, we extend the concepts used in the standard UKF formulation, such as state uncertainty and modeling, to correctly incorporate elements that do not belong to an Euclidean space such as the Lie group members. In this analysis, we use the parallel transport, which requires us to explicitly consider SE(3) as representing rigid bodies though the use of the affine connection. We present experimental results to show the effectiveness of the proposed approach for state estimation of a quadrotor platform.