The COMPTEL unidentified source GRO J1411-64 was observed by INTEGRAL, and its central part, also by XMM-Newton. The data analysis shows no hint for new detections at hard X-rays. The upper limits in flux herein presented constrain the energy spectrum of whatever was producing GRO J1411-64, imposing, in the framework of earlier COMPTEL observations, the existence of a peak in power output located somewhere between 300-700 keV for the so-called low state. The Circinus Galaxy is the only source detected within the 4$\sigma$ location error of GRO J1411-64, but can be safely excluded as the possible counterpart: the extrapolation of the energy spectrum is well below the one for GRO J1411-64 at MeV energies. 22 significant sources (likelihood $> 10$) were extracted and analyzed from XMM-Newton data. Only one of these sources, XMMU J141255.6-635932, is spectrally compatible with GRO J1411-64 although the fact the soft X-ray observations do not cover the full extent of the COMPTEL source position uncertainty make an association hard to quantify and thus risky. The unique peak of the power output at high energies (hard X-rays and gamma-rays) resembles that found in the SED seen in blazars or microquasars. However, an analysis using a microquasar model consisting on a magnetized conical jet filled with relativistic electrons which radiate through synchrotron and inverse Compton scattering with star, disk, corona and synchrotron photons shows that it is hard to comply with all observational constrains. This and the non-detection at hard X-rays introduce an a-posteriori question mark upon the physical reality of this source, which is discussed in some detail.