Single molecule localization microscopy has made great improvements in spatial resolution achieving performance beyond the diffraction limit by sequentially activating and imaging small subsets of molecules. Here, we present an algorithm designed for high-density molecule localization which is of a major importance in order to improve the temporal resolution of such microscopy techniques. We formulate the localization problem as a sparse approximation problem which is then relaxed using the recently proposed CEL0 penalty, allowing an optimization through recent nonsmooth nonconvex algorithms. Finally, performances of the proposed method are compared with one of the best current method for high-density molecules localization on simulated and real data.