Aims. We aim to determine the redshift (or stringent lower limits) of a number of bright BL Lacs objects. Methods. We secured medium resolution optical and near-infrared spectra of 4 bright BL Lac objects of unknown redshift using the spectrograph X-Shooter at the ESO-VLT. Results. In spite of the high quality of the spectra and the extended spectral range of the observations we have not detected intrisic spectral features for these sources. However we are able to provide strigent lower limits to their redshift. In particular, for the two TeV sources PG 1553+113 and H 1722+119 we infer z > 0.30 and z > 0.35 respectively. We also detect an intervening Ca II absorption doublet in the spectrum of MH 2136-428 that is ascribed to the the halo of a nearby giant elliptical galaxy at \sim 100 kpc of projected distance. Conclusions. Under the hypothesis that all BL Lacs are hosted by luminous bulge dominated galaxies, the present state of art spectroscopic observations of bright BL Lacs indicate that these objects are likely sources with extremely beamed nuclear emission . We present simulations to show under which circustances it will be possible to probe this hypothesis from the detection of very weak absorptions using the next generation of extremely large optical telescopes.