Aims. We report on simultaneous observations and modeling of mid-infrared (MIR), near-infrared (NIR), and submillimeter (submm) emission of the source Sgr A* associated with the supermassive black hole at the center of our Galaxy. Our goal was to monitor the activity of Sgr A* at different wavelengths in order to constrain the emitting processes and gain insight into the nature of the close environment of Sgr A*. Methods. We used the MIR instrument VISIR in the BURST imaging mode, the adaptive optics assisted NIR camera NACO, and the sub-mm antenna APEX to monitor Sgr A* over several nights in July 2007. Results. The observations reveal remarkable variability in the NIR and sub-mm during the five nights of observation. No source was detected in the MIR, but we derived the lowest upper limit for a flare at 8.59 microns (22.4 mJy with A_8.59mu = 1.6+/- 0.5). This observational constraint makes us discard the observed NIR emission as coming from a thermal component emitting at sub-mm frequencies. Moreover, comparison of the sub-mm and NIR variability shows that the highest NIR fluxes (flares) are coincident with the lowest sub-mm levels of our five-night campaign involving three flares. We explain this behavior by a loss of electrons to the system and/or by a decrease in the magnetic field, as might conceivably occur in scenarios involving fast outflows and/or magnetic reconnection.