MOTIVATION: In fluorescence microscopy, single-molecule localization microscopy (SMLM) techniques aim at localizing with high-precision high-density fluorescent molecules by stochastically activating and imaging small subsets of blinking emitters. Super resolution plays an important role in this field since it allows to go beyond the intrinsic light diffraction limit. RESULTS: In this work, we propose a deep learning-based algorithm for precise molecule localization of high-density frames acquired by SMLM techniques whose ℓ2-based loss function is regularized by non-negative and ℓ0-based constraints. The ℓ0 is relaxed through its continuous exact ℓ0 (CEL0) counterpart. The arising approach, named DeepCEL0, is parameter-free, more flexible, faster and provides more precise molecule localization maps if compared to the other state-of-the-art methods. We validate our approach on both simulated and real fluorescence microscopy data. AVAILABILITY AND IMPLEMENTATION: DeepCEL0 code is freely accessible at https://github.com/sedaboni/DeepCEL0.