The microlensing event OGLE-2011-BLG-0417 is an exceptionally bright lens binary that was predicted to present radial velocity variation at the level of several km s(-1). Pioneer radial velocity follow-up observations with the UVES spectrograph at the ESO-VLT of this system clearly ruled out the large radial velocity variation, leaving a discrepancy between the observation and the prediction. In this paper, we further characterise the microlensing system by analysing its spectral energy distribution (SED) derived using the UVES spectrum and new observations with the ARCoIRIS (CTIO) near-infrared spectrograph and the Keck adaptive optics instrument NIRC2 in the J, H, and Ks-bands. We determine the mass and distance of the stars independently from the microlensing modelling. We find that the SED is compatible with a giant star in the Galactic bulge and a foreground star with a mass of 0.94 +/- 0.09 M-circle dot at a distance of 1.07 +/- 0.24 kpc. We find that this foreground star is likely the lens. Its parameters are not compatible with the ones previously reported in the literature (0.52 +/- 0.04 M-circle dot at 0.95 +/- 0.06 kpc), based on the microlensing light curve. A thoughtful re-analysis of the microlensing event is mandatory to fully understand the reason of this new discrepancy. More importantly, this paper demonstrates that spectroscopic follow-up observations of microlensing events are possible and provide independent constraints on the parameters of the lens and source stars, hence breaking some degeneracies in the analysis. UV-to-NIR low-resolution spectrographs like X-shooter (ESO VLT) could substantially contribute to this follow-up efforts, with magnitude limits above all microlensing events detected so far.