Ultra-dense wireless cellular networks have been envisioned as a promising technique for handling the explosive increase of wireless traffic volume. With the extensive deployment of small cells in wireless cellular networks, the network spectral efficiency (SE) is improved with the use of limited frequency. However, the mutual inter-tier and intra-tier interference between or among small cells and macro cells becomes serious. On the other hand, more chances for potential cooperation among different cells are introduced. Energy efficiency (EE) has become one of the most important problems for future wireless networks. This paper proposes a cooperative bargaining game-based method for comprehensive EE management in an ultra-dense wireless cellular network, which highlights the complicated interference influence on energy-saving challenges and the power-coordination process among small cells and macro cells. Especially, a unified EE utility with the consideration of the interference mitigation is proposed to jointly address the SE, the deployment efficiency (DE), and the EE. In particular, closed-form power-coordination solutions for the optimal EE are derived to show the convergence property of the algorithm. Moreover, a simplified algorithm is presented to reduce the complexity of the signaling overhead, which is significant for ultra-dense small cells. Finally, numerical simulations are provided to illustrate the efficiency of the proposed cooperative bargaining game-based and simplified schemes.