We present an empirical spectral modeling of the high-energy emission of the anomalous X-ray pulsar 4U 0142+614 based on simultaneous Swift and INTEGRAL observations from X- to γ-ray energies. We adopted models contained in the XSPEC analysis package, as well as models based on recent theoretical studies, and restricted ourselves to those combinations of up to three components that produced a good fit while requiring the lowest number of free parameters. Only three models were found to satisfactorily fit the 0.5-250 keV spectrum of 4U 0142+614: (1) a ~0.4 keV blackbody and two power laws, (2) a resonant cyclotron scattering model plus a power law, and (3) two log-parabolic functions. We found that only the latter two models do not overpredict the infrared/optical emission observed simultaneously from this AXP, and only the log-parabolic functions can naturally account for the upper limits set by COMPTEL in the γ-ray range. A possible interpretation of the two log parabolae in terms of inverse Compton scattering of soft X-ray photons by very energetic particles is discussed.