In recent years impressive progress has been made in the development of highly accurate energy density functionals, which allow us to treat medium–heavy nuclei. In this approach one tries to describe not only the ground state but also the first relevant excited states. In general, higher accuracy requires a larger set of parameters, which must be carefully chosen to avoid redundancy. Following this line of development, it is unavoidable that the connection of the functional with the bare nucleon–nucleon interaction becomes more and more elusive. In principle, the construction of a density functional from a density matrix expansion based on the effective nucleon–nucleon interaction is possible, and indeed the approach has been followed by few authors. However, to what extent a density functional based on such a microscopic approach can reach the accuracy of the fully phenomenological ones remains an open question. A related question is to establish which part of a functional can be actually derived by a microscopic approach and which part, in contrast, must be left as purely phenomenological. In this paper we discuss the main problems that are encountered when the microscopic approach is followed. To this purpose we will use the method we have recently introduced to illustrate the different aspects of these problems. In particular we will discuss the possible connection of the density functional with the nuclear matter equation of state and the distinct features of finite-size effect typical of nuclei.