Sigfox has become one of the main Low-Power Wide Area Network (LPWAN) technologies, as it has attracted the attention of the industry, academy and standards development organizations in recent years. Sigfox devices, such as sensors or actuators, are expected to run on limited energy sources; therefore, it is crucial to investigate the energy consumption of Sigfox. However, the literature has only focused on this topic to a very limited extent. This paper presents an analytical model that characterizes device current consumption, device lifetime and energy cost of data delivery with Sigfox. In order to capture a realistic behavior, the model has been derived from measurements carried out on a real Sigfox hardware module. The model allows quantifying the impact of relevant Sigfox parameters and mechanisms, as well as frame losses, on Sigfox device energy performance. Among others, evaluation results show that the considered Sigfox device, powered by a 2400 mAh battery, can achieve a theoretical lifetime of 1.5 or 2.5 years while sending one message every 10 min at 100 bit/s or 600 bit/s, respectively, and an asymptotic lifetime of 14.6 years as the message transmission rate decreases.