Why Li can't make it's Peroxide when heated with more O2? Every first group metal reacts with $\ce{O2}$ and makes there monoxide at room temperature.  

But it says that $\ce{Li}$ does not make peroxide when heated with more $\ce{O2}$. But other metals in that group do.  

Why $\ce{Li}$ can't make it's Peroxide when heated with more $\ce{O2}$?

And if we give the heat continuously with more $\ce{O2, K, Rb, Cs}$ give there Super-oxides. In that time Both $\ce{Li}$ and $\ce{Na}$ do not gives there Super-oxides. What is the reason for it?
It has to do with the small size and high charge density of the lithium ion, which effectively polarizes any peroxide ion that might form and thus pulls it apart.  See http://www.chemguide.co.uk/inorganic/group1/reacto2.html.