Context. In the past few years, a new class of high mass X-ray binaries (HMXRB) has been claimed to exist, the supergiant fast X-ray transients (SFXT). These are X-ray binary systems with a compact companion orbiting a supergiant star which show very short and bright outbursts in a series of activity periods overimposed on longer quiescent periods. Only very recently the first attempts to model the behaviour of these sources have been published, some of them within the framework of accretion from clumpy stellar winds. Aims. Our goal is to analyze the properties of XTE J1739-302/IGR J17391-3021 within the context of the clumpy structure of the supergiant wind. Methods. We have used INTEGRAL and RXTE/PCA observations to obtain broad band (1–200 keV) spectra and light curves of XTE J1739-302 and investigate its X-ray spectrum and temporal variability. Results. We have found that XTE J1739-302 follows a much more complex behaviour than expected. Far from presenting a regular variability pattern, XTE J1739-302 shows periods of high, intermediate, and low flaring activity.